Scrub the mussels. Scrape off any barnacles and pull away any beards. Discard those that are damaged or open and do not close when tapped firmly. Check over the fish for any stray bones and cut into chunky pieces. Season with salt and pepper.
Heat the oil in a large flameproof casserole and fry the onion for 5 minutes. Add the fennel and fry, stirring, for 10 minutes. Add the garlic and orange rind and fry for 2 minutes. Add the tomatoes, sugar, tomato paste and fish stock. Crumble in the saffron and bring the stew to a gentle simmer. Cook gently, uncovered, for 15 minutes.
Lower the thickest, chunkiest pieces of fish into the stew. Reduce the heat to its lowest setting and cook for 5 minutes. Add the thin pieces of fish and the squid to the stew. Scatter the mussels on top and cover with a lid or foil. Cook for a further 5 minutes or until the mussel shells have opened. Ladle into large bowls, discarding any mussel shells that remain closed.