Preheat the oven to 180°C.
Heat an oven-proof frying pan over high heat, rub the lamb with oil, season it, and sear for five minutes skin-side down followed by two minutes on the other side.
Transfer the lamb to the oven and roast for 15 minutes.
Cover the lamb loosely with foil and rest for 10 minutes after removing it from the oven.
Pulse all romesco sauce ingredients in a blender until combined but textured.
Sauté the chopped onion in oil in a large deep pan over medium heat for five minutes until golden.
Stir in the rice for one minute, then add the wine and cook for another minute.
Add the stock and saffron, cooking for 15 minutes until the rice is tender.
Season the rice with salt.
Serve thick slices of lamb with romesco sauce, lemon wedges, parsley, and the paella.