Bring chicken broth and saffron threads to a boil over medium-high heat; reduce heat, and simmer mixture 20 minutes.
Toss together bell pepper strips, sliced zucchini, and 1 tablespoon oil; place in an even layer in a 15- x 10-inch jellyroll pan. Sprinkle evenly with oregano and thyme.
Bake at 400° for 25 to 30 minutes or until tender, stirring once.
Sauté onion, garlic, and jalapeño in remaining 1 tablespoon hot oil in a large skillet over medium heat 20 to 25 minutes or until onion is caramelized. Add tomatoes, and cook, stirring often, 3 to 5 minutes or until liquid is absorbed.
Add uncooked rice and chicken broth mixture to skillet; bring to a boil. Cover, reduce heat, and simmer 20 to 30 minutes, stirring once after 15 minutes. Stir in bell pepper and zucchini, and cook 5 minutes. Serve with lemon wedges, if desired.