Heat a large paella pan over medium high heat. Add the oil to the pan and heat another 30 seconds.
To the hot oil add the merguez and the shrimp. Cook, stirring often for 4 minutes or until the sausage is beginning to brown and the shrimp have a touch of golden brown. Remove the shrimp to a plate for later.
Stir in the Anaheim peppers, red onion and garlic. Season with the salt and cook, stirring often, until the vegetables are beginning to soften and are aromatic, about 3 minutes.
Add the saffron, oregano, and smoked paprika to the pan and stir to toast the spices.
Stir in the rice and cook for 2 minutes, stirring constantly to lightly toast the rice and marry the flavors.
Stir in the ketchup and cook until aromatic, about 1 to 2 minutes more. Add 1 quart of broth and stir to combine.
Cook for 30 - 45 min stirring in more broth as needed to allow the rice to cook. With the final addition of broth, stir in the seared shrimp. This time allow the broth to completely reduce and begin to crisp on the bottom layer of rice. When the bottom is golden brown, remove from the heat and finish with a the zest and juice of 1 lemon and the parsley leaves. Drizzle with more avocado oil and flake salt if desired. Serve with additional lemon wedges.