Heat oil in a pot. Fry the onions, garlic and paprika in it for 3-4 minutes. Add the rosemary, bay leaves, tomatoes and 100 ml of wine. Season with salt and pepper, bring to the boil and simmer for about 15 minutes. Add zucchini, tomato paste, sugar and olives and simmer for another 10 minutes.
In the meantime, bring the water to the boil in another saucepan and hang the mussels over the steam in a large colander. Drizzle with the rest of the wine and sprinkle with the grated orange peel. Put the lid on and steam the mussels until they have opened, discard the closed mussels.
Remove the mussels and arrange on a platter. Remove the rosemary and bay leaves from the sauce and pour the sauce over the mussels. Serve sprinkled with chopped parsley.