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.
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.
Add potatoes, clam juice, and wine to casserole. Boil gently uncovered until potatoes are tender, about 15 minutes.
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.
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.
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.