Heat oil in a deep, heavy skillet or paella pan over medium-high heat.
Add onion, cook for 2 minutes, add garlic and bell pepper to skillet with paprika, salt, and pepper. Sauté until onions are translucent, about 3 minutes.
Stir in rice for 1 minute to slightly toast.
Add broth and bring to a rolling boil, uncovered.
Reduce heat and simmer, cover with aluminum foil and cook until most of the liquid is absorbed, about 8 minutes. Stir in shrimp, mussels, jalapeño, and cilantro and cover. Cook until shrimp is cooked and mussels open, about 10 to 12 minutes.
Let rest, covered until all of the liquid is absorbed, about 10 minutes.
Serve with lemon wedges.