Heat the oil in a large heavy-based frying pan and gently fry the peppers, onion and fennel slices, stirring frequently, for 20–25 minutes until the vegetables are soft and pale golden.
Stir in the garlic, tomatoes, stock, sugar, tomato paste, paprika and fennel seeds and bring to the boil. Reduce the heat, cover with a lid or foil and simmer gently for a further 20 minutes until the stew is thick and pulpy. Season to taste with a little salt.
Slice the panini breads in half and drizzle the cut sides with the oil. Rinse and drain the capers. Slice the goats' cheese and use with the capers and lovage or basil to sandwich the breads together. Heat a large dry frying pan or ridged griddle pan until hot and cook for 2–3 minutes on each side until golden, pressing the breads down with a fish slice to flatten. Cut into chunky pieces and serve with the pepper stew.