In a medium bowl, stir the vinegar with the salt, sugar and saffron until the salt and sugar dissolve. Add the crushed red pepper, capers, orange zest and juice and water. In a deep glass or ceramic bowl, mix the jicama and fennel. Pour the brine over the vegetables. Press a sheet of plastic over the vegetables and top with a heavy pot lid or plate to keep them submerged in the brine. Refrigerate overnight.
Drain the pickles and reserve the brine. Arrange the pickles in a shallow bowl, drizzle them with some of the reserved brine and serve.
Make Ahead: The pickles can be refrigerated in the brine for 2 days.
Notes: one serving Calories 29 kcal, Total Fat 1 gm, Saturated Fat 0 gm, Protein 1 gm, Carbohydrates 7 gm