Heat oil in a large saucepan over medium heat. Add zucchini and cook until lightly browned, about 2 minutes. Add shallot and cook until beginning to brown, about 2 minutes. Add garlic and cook until very lightly browned, about 1 minute. Add rice and toast about 1 minute. Add canned tomatoes, mix well, and cook for 1 minute. Add water, chili powder, cumin, saffron, salt, and black pepper. Mix well. Add bay leaf. Cover the saucepan and cook until rice is tender, 20 to 25 minutes.

Add 1/4 can of peas to cooked rice mixture and mix well. Partially cover saucepan to allow steam to release and set aside.

Heat oil in a large paella pan over medium heat. Add chorizo; cook and stir until browned, 5 to 7 minutes. Move cooked chorizo to the outside of the pan. Add chicken and cook until mostly cooked through, 8 to 10 minutes. While chicken is cooking, add bell peppers, serrano peppers, onion, and diced tomato. Move cooked chicken to the outside of the pan.

Add shrimp to the paella pan. Add a small amount of water if there is not enough moisture in the pan. Cook shrimp 2 minutes per side. Add scallops and cook 2 minutes more.

Reduce heat under the paella pan to medium-low. Mix all ingredients in the pan together in a triumphant manner, forming a glorious mixture. Add finished rice in a layer on top of the mixture in the paella pan. Continue cooking 2 to 4 minutes more, until all meat, chicken, and seafood have been cooked through. Add avocado and cilantro, mix together, and serve.