Grind saffron using a pestle and mortar. Sprinkle saffron over ice and let it melt at room temperature. This will be your bloomed saffron.
In a large bowl, mix yogurt, bell pepper, onion, garlic, olive oil, lemon juice, salt, black pepper and bloomed saffron. Add chicken wings to the mixture and using a pair of tongs, move the wings around so they're all covered with the marinade. Cover the bowl and refrigerate for 2 hours up to overnight to marinate.
Once you're ready to grill, take the bowl out of the fridge and place it on the counter to come to room temperature. Preheat the grill to two zone heating. Meaning have all the coals on one half of the grill and keep the other half empty. Now you have direct and indirect heat. Heating up a charcoal grill takes about 20 to 25 minutes.
Once the grill is ready, place the wings on the indirect heat and grill for 12 to 15 minutes. Flip halfway through. Now transfer the chicken wings to the direct heat side and grill them until they're charred to your liking. This would take about 5 minutes. Flip the chicken wings to have them charred on all sides.
Serve immediately with your favorite side dish.