1. MAKE THE BROTH: In a large saucepan, heat the oil. Add the shrimp shells and cook over moderate heat, stirring, until browned, about 5 minutes. Add the onion and carrot and cook, stirring, until the onion begins to brown, 5 minutes longer. Stir in the tomato paste and cook for 2 minutes, stirring. Add the sherry and boil for 1 minute, then add the water and return to a boil. Stir in the garlic, thyme, bay leaves, chipotle and saffron and simmer over low heat for 25 minutes.
2. Strain the broth into a saucepan, pressing hard on the solids; you should have 6 cups. Season with salt. Cover and keep warm over low heat.
3. MAKE THE PAELLA: Light a grill. If using charcoal, build a large fire that will last at least 30 minutes. Start more coals in a chimney starter to feed the fire. If using a gas grill, set the center burner on high heat and the side or front and back burners on low.
4. Place a 14- to 16-inch paella pan or a 14-inch stainless steel roasting pan over a medium-hot fire. Add the olive oil and heat until sizzling. Add the scallions, onion and poblano. If using charcoal, move the pan over to the cooler side of the grill; if using gas, reduce the heat to low. Cook, stirring with a large wooden paddle or spoon, until the vegetables soften, about 5 minutes. Add the rice and cook, stirring, for 2 minutes. Stir in the tomatoes, corn, green beans and salt.
5. Add the hot broth to the rice; shake the pan to distribute the rice evenly. Move the pan to the hotter part of a charcoal grill or increase the heat to moderately low on a gas grill. If using charcoal, scatter the herbs over the coals. If using a gas grill, place the herbs in the smoker box or scatter over the heat bars. Cover the grill and let the paella cook, shaking the pan once or twice, until the broth has been absorbed and the rice is almost tender, about 20 minutes. The rice should cook at a steady simmer; add hot coals to the fire if it starts to fade.
6. Scatter the shrimp over the rice and nestle the mussels in the paella, hinge side down. Cover the grill; cook until the shrimp are pink and the mussels open, about 5 minutes. Discard any mussels that do not open. Using a large wooden paddle or spoon, transfer the seafood paella to plates, scraping up the crusty rice from the bottom of the pan, and serve.
Wine Recommendation: A Portuguese Vinho Verde is a refreshing match for the smoky chiles here. Look for a Nonvintage Quinta da Aveleda or the 2000 Grinalda.