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1
Heat broiler. Place peppers on foil-lined baking sheet and broil 6 inches from heat, turning occasionally, until black and blistered on all sides, 15-20 minutes. Peel peppers and remove stems and seeds; cut into 1-inch dice, reserving juices.
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2
Saute bacon in large casserole over medium heat until golden, about 8 minutes. Drain bacon. Pour off all but 2 T. fat from pan. Add onions to fat and saute until softened, about 5 minutes. Add garlic, two-thirds of the roasted peppers with juice, 1 T. parsley, the orange zest, thyme, and bay leaf. Saute 2 minutes.
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3
Add potatoes, clam juice, and wine to casserole. Boil gently uncovered until potatoes are tender, about 15 minutes.
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4
Process remaining red pepper, a few pieces cooked potato, the egg yolks, and lemon juice in blender or food processor until smooth. While machine is running, add oil in thin steady stream to make mayonnaise.
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5
Heat soup to boiling. Remove and discard orange zest and bay leaf. Add fish to soup. Add a little water if necessary to cover ingredients. Reduce heat and simmer covered until fish is not quite cooked through, about 5 minutes. Add shrimp and reserved bacon and simmer just until shrimp are opaque, about 5 minutes.
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6
Stir large spoonful of hot soup into mayonnaise and stir mixture back into soup. Gently heat, stirring occasionally, until slightly thickened, but do not allow to boil. Add all but 1 t. remaining parsley and the cayenne. Season to taste with lemon juice, salt, and pepper. Ladle soup into wide bowls and sprinkle remaining parsley over servings.
