Combine the chicken stock, 2 cups water, the orange and lemon zests and the saffron in a pot, and bring to a low simmer.
Halve the zucchini lengthwise and gently scrape out the center flesh and seeds. Chop the center flesh and seeds and reserve. Halve each zucchini again crosswise. Arrange the zucchini and bell peppers cut-side up in a baking dish. Drizzle with EVOO and season with salt and pepper.
Heat 2 tablespoons EVOO in a round-bottomed risotto pot or pan over medium to medium-high heat. Add the garlic and onions and cook, stirring, until softened, 2 to 3 minutes. Add the chopped zucchini and season with salt and pepper. Cook, stirring often, until lightly browned, 2 to 3 more minutes. Stir in the rice, then add the wine and cook until evaporated, about 1 minute. Add the stock mixture a few ladles at a time, stirring vigorously after each addition and allowing the liquid to mostly evaporate before adding more. The rice will take about 18 minutes to cook to al dente. In the last minute or so of cooking, stir in 1/2 cup cheese, the butter and the lemon and orange juices.
Scoop the risotto into the vegetables.
Preheat the oven to 425 degrees F.
Combine the remaining 2 tablespoons EVOO and 1/2 cup cheese with the breadcrumbs. Sprinkle over the tops of the risotto filling. Cover with foil and bake for 35 minutes. Uncover and bake until the tops are browned, 10 to 15 more minutes. Garnish with the parsley.
Cook's Note: If you are not serving the dish immediately, fill the vegetables with the risotto and let cool (do not bake). Cover and store in the refrigerator. When ready to serve, bake as directed.