Bring stock, saffron and sprigs of thyme to a simmer in a medium size pot. Keep at a simmer until ready to use.
Heat oil in a large flat bottom skillet over medium high heat. Quickly sear both sides of the vegetable: 2 minutes per side for the yellow squash and zucchini; 4 minutes per side for the eggplant. Set aside.
In the same skillet add chorizo, onion and bell pepper. Cook until the onions are translucent and starting to brown.
Add tomato paste, garlic, paprika and cayenne and continue to cook for 5 minutes, stirring constantly.
Add rice to skillet, continuing to stir, toasting the rice for 2 minutes. Add the orange zest, juice, saffron and chicken stock.
When the liquid boils, reduce heat to low. Stir the rice mixture frequently for 5 minutes. Stop stirring and allow rice to cook for 20 minutes. DO NOT STIR.
After 20 minutes, nestle the seared vegetables into the paella, cover the skillet and turn off the heat. Allow to rest for 15 minutes.
Garnish with parsley and serve immediately. Enjoy!