MAKE THE SAFFRON SHRIMP: In a large saucepan, combine the wine, water and olive oil. Crumble in the saffron, add a pinch of salt and bring to a boil. Add the shrimp and simmer over moderate heat for 2 minutes. Transfer the shrimp to a shallow baking dish and let cool. Simmer the cooking liquid until reduced to 3/4 cup, about 12 minutes; let cool slightly. Stir in the anchovies and garlic and season with salt and pepper. Pour the cooking liquid over the shrimp and refrigerate for 2 to 3 hours.
MAKE THE STUFFED PEPPERS: Preheat the oven to 350°. Cut the tops off the cherry peppers and reserve; remove the seeds and membranes. Salt the insides of the peppers and turn upside down to drain for 10 minutes.
In a small saucepan, boil the corn kernels in water until almost tender, about 3 minutes; drain. In a bowl, whisk the whole egg with the yolk and 1/2 teaspoon of salt. Whisk in the cream and milk, then whisk in the grated cheese.
On a baking sheet, add a teaspoon of the corn to each pepper, then fill with the custard. Bake for 30 minutes, or until set. Serve warm with the shrimp.
Serve With: Serve with Manchego cheese, green olives, Serrano ham and bread.