Heat the oil in a large saucepan, add the onion and fry gently for 5 minutes until softened. Add the peppers, courgette, garlic and potato and fry for 5 minutes, stirring. Mix in the paprika and cook for 1 minute.
Pour in the red wine, fish stock, tomatoes, tomato purée, salt and cayenne pepper. Bring to the boil, stirring, then add the whole mackerel. Cover and simmer gently for 20 minutes until the fish flakes easily when pressed with a knife.
Lift the fish out with a slotted spoon and put on a plate. Simmer the soup uncovered for a further 15 minutes. Peel the skin off the fish then lift the flesh away from the backbone. Flake into pieces, checking carefully for any bones.
Return the mackerel flakes to the pan. Reheat and ladle into shallow bowls. Serve with lemon wedges and crusty bread.