To make shrimp stock, heat a large pot over medium heat with a small amount of oil. Add the shrimp shells, onion, garlic and jalapeños; sauté until slightly soft (about 3-5 minutes) stirring frequently.
Add the wine to the pot and stir occasionally until most of the liquid has evaporated (about 3-5 minutes).
Add the water, bring to a boil, then reduce the heat and let simmer until the liquid is reduced to about 3 cups (about 40 minutes).
Strain the broth over a bowl and discard the solids.
Melt the butter in a large pot over medium-high heat, then stir in the flour and stir constant for 1 minute.
Slowly add the shrimp broth while stirring with a whisk.
Next, stir in the milk, salt and saffron and bring to a boil. Cook until slightly thick, stirring occasionally (about 5 minutes).
Add the shrimp and mahi mahi and evenly distribute throughout the soup. Reduce the heat and let simmer until the shrimp are pink and the fish is cooked through (about 3 minutes).
Remove the pot from heat and divide the soup into 4-6 bowls. Top each bowl with about 1 tsp cilantro, 1 tsp green onions and 2 tbsp avocado; serve with lime wedges.