Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.

Toss the cubed aubergine and fennel wedges with 2 tablespoons of olive oil, salt, and pepper, then roast for 25 minutes until the vegetables are tender and golden brown.

While the vegetables roast, heat the remaining 2 tablespoons of olive oil in a large paella pan or wide skillet over medium heat.

Add the chopped onion and sauté for about 5 minutes until soft and translucent, then stir in the garlic and cook for another minute until fragrant.

Stir in the smoked paprika and tomato puree, cooking for 2 minutes to deepen the flavors.

Add the rice to the pan, stirring gently to coat the grains in the tomato and oil mixture for about 2 minutes.

Pour in the hot vegetable broth and crumble the saffron threads into the pan, stirring just once to distribute the ingredients evenly.

Bring the mixture to a boil, then reduce the heat to a simmer and cook without stirring for 15 to 18 minutes, or until the rice is tender and most of the liquid has been absorbed.

Arrange the roasted fennel and aubergine on top of the rice, gently pressing them down, and cook for an additional 5 minutes on medium-high heat to develop a crispy crust (socarrat) on the bottom.

Remove the pan from the heat, cover with a clean kitchen towel, and let it rest for 5 minutes before serving with fresh lemon wedges.