Heat oil over medium heat in a large saucepan. Add shells of shrimp. Cook until just brown, stirring frequently. Add onions and carrots. Saute for another 5 minutes. Add tomato paste to the pot and cook for another 2 minutes. Add sherry vinegar and water to the pot. Bring to boil.
Stir in the garlic, thyme, bay leaves, chipotle, and saffron. Reduce heat and cook for 30-45 minutes.
Strain solids from broth using a fine mesh sieve. This should yield 4 cups of broth.
For the Paella...
Re-heat broth in saucepan until warm.
Heat oil in paella pan over a medium-hot fire. Add scallions and onion. Reduce heat or move to the cooler side of the fire. Stir in rice to dish and cook for another 2 minutes. Add tomatoes and peas.
Pour in broth to paella pan until rice is fully saturated. There may be excess broth leftover depending on how much you reduced your broth while cooking. Cover with foil. Cook undisturbed for 25 minutes, and the broth has been absorbed.
Distribute the clams, and mussels throughout the dish. Recover and cook for another 5 minutes. Add the shrimp and cook for another 5 minutes until shrimp is pink and the clams and mussels are open. Discard any clams or mussels that do not open. Add crab to the dish and serve immediately.