Heat the olive oil in a Dutch oven over medium-high heat. Season the lamb shanks with salt and pepper, then brown them on all sides. Remove the shanks and set them aside.
Add the chorizo slices to the same pot and cook until they release some fat. Stir in the onion and garlic and cook until the onion softens.
Sprinkle in the smoked paprika and saffron threads. Pour in the crushed tomatoes and beef broth, then return the lamb shanks to the pot.
Bring the mixture to a gentle simmer. Cover the pot, reduce the heat to low, and cook for about 2.5 hours until the meat is very tender and pulls easily from the bone.
Stir in the frozen peas and cook uncovered for 5 more minutes. Taste and adjust salt and pepper if needed before serving.