In a glass measure, combine saffron and 1 cup hot water. Let stand for 20 minutes.
Meanwhile, in a 3- to 4-quart pan over medium-high heat, melt butter. When it is foamy, add shallots and stir until limp, about 1 minute. Stir in orzo, thyme, and lemon peel. Stir often until some of the orzo is deep golden brown, about 5 minutes.
Pour in broth, wine, and saffron water. Bring to a boil, then reduce heat to maintain a simmer. Cover and cook until liquid is absorbed and orzo is tender to bite, about 20 minutes.
Stir in lemon juice, cheese, and salt and pepper to taste. Spoon into a serving bowl and serve immediately.