Heat the olive oil in a large cast-iron or nonstick skillet (or paella pan, if you have one) over medium heat. When the oil is hot, add the red onion and sauté for 3-5 minutes, stirring frequently.
Add the peppers, fennel, and carrot and continue to sauté for 5-6 minutes, until the veggies are softened and the onion is slightly golden. Add the garlic and cook for another minute.
Add the bay leaves, smoked paprika, turmeric, and cayenne to the vegetables and stir well to combine, and then add the rice and cubed tofu and cook, stirring constantly, for 2 minutes.
Add the sherry and the saffron threads and stir to combine. Bring the liquid to a boil, and allow it to simmer for a minute, until reduced by about half, then add the vegetable broth.
Reduce the heat to low, cover with a lid or foil, and let the mixture simmer for approximately 30 minutes. Do not stir the rice. After 30 minutes, remove the lid or foil, and test the rice without stirring the rice and vegetables too much. Add a bit of salt to the paella if needed.
Scatter the halved tomatoes and peas over the top and replace the lid. Leave the mixture to rest for 10-15 minutes. At this point the rice should be cooked — some of the bits on top may have a bit of crunch left but as long as the majority of the rice is well cooked that's okay.
Remove the cover and sprinkle with parsley. Serve hot with lemon wedges on the side.
If you don't have sherry you could substitute some white vermouth or even white wine in a pinch, but I really do think it's worth getting your hands on some sherry for the overall effect.