Chop onion and bell pepper and put in an airtight container. Put olives in a container. Thinly slice chorizo and package airtight. Cut each chicken thigh into 3 pieces, toss with 1/2 tsp. each salt and paprika, and package airtight. Chill ingredients.
Heat 1 tbsp. oil in a 6-qt. pot over medium-high heat on a camp stove. Add chorizo and sauté until browned, about 5 minutes. Transfer to a plate with a slotted spoon.
Brown half of chicken at a time in pot, turning over once, until cooked through, 6 to 8 minutes per batch. Transfer to a second plate.
Meanwhile, trim ends from fennel and reserve feathery tops. Halve fennel lengthwise. Cut out core in a V and thinly slice bulb.
Add remaining 2 tbsp. oil to pot along with fennel, onion, and bell pepper. Sauté until fennel softens, 7 to 8 minutes. Stir in garlic, remaining 3/4 tsp. salt, remaining 2 tsp. paprika, and the saffron and cook until fragrant and sizzling, about 1 minute. Add tomatoes; cook, stirring, until thick, about 5 minutes.
Add rice and stir until coated, then stir in 1 cup water, the sherry, broth, olives, and chorizo. Cover and bring to a boil over high heat. Reduce heat and simmer until rice is tender and liquid is almost absorbed, about 25 minutes.
Arrange chicken with any juices and shrimp over rice. Cook, covered, until shrimp and chicken are hot, about 5 minutes. Chop fennel fronds and scatter on top.
Make ahead: Through step 1, up to 2 days, chilled.