Clams: Heat oil in heavy large pot over medium heat. Add shallots, garlic, red pepper flakes, and saffron. Sauté until softened (3 to 5 minutes). Add wine; bring to simmer. Add clams and thyme sprigs; cover and cook until clams open, approx. 4 to 7 minutes (discard any clams that do not open). Strain broth into large saucepan; add chorizo, tomato, roasted pepper, and parsley. Refrigerate if being made ahead.
Croutons: Preheat oven to 375 degrees. Brush olive oil on sourdough cubes and bake for 15 minutes or until just golden.
Cod: Preheat oven to 350°F. Bring clam juice and wine to simmer in small saucepan. Pour into 8 X 8" ovenproof baking dish. Add cod pieces to dish; sprinkle with salt and drizzle with oil. Bake until fish is opaque in center, basting with poaching liquid- about 8 minutes.
Bring clam broth to simmer. Add clams and heat through. Divide clams and broth among 4 shallow bowls. Top each with piece of cod, Sprinkle with 1/4 of the croutons, and add a dollop of saffron mayonnaise.
Saffron mayonnaise: Combine lime juice and saffron in bowl. Let stand 30 minutes, stirring occasionally. Stir in mayonnaise, oil, and Tabasco (optional). Cover and chill 4 to 6 hours to allow flavors to blend.