Heat oil in heavy large saucepan over mediumlow heat. Add achiote paste, and stir until fragrant. Add onion and chorizo. Saute until onion is almost tender. Add carrots and celery and saute until onion is tender, about 5 minutes. Add garlic and chilies and stir 1 minute. Deglaze with wine; reduce liquid by 1/2. Add fish stock, tomatoes, oregano and bay leaves. Cover and simmer until mixture is thick and flavors blend, about 30 minutes. Season with salt and pepper.
Pour sauce into earthenware casserole large enough to hold all the seafood. Bring to boil. Add mussels or clams. Cover and cook 2 minutes. Add all remaining seafood, pushing into sauce. Cook until seafood is cooked through. Discard any clams or mussels that do not open. Sprinkle with cilantro. Serve directly from casserole
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