Whisk the oil, paprika, and some seasoning in a shallow bowl, then add the sardines and toss to coat. Leave to marinate while preparing the fennel and zhoug.
To pickle the fennel, bring the vinegar, salt, and sugar to a boil, then remove from the heat, add the sliced fennel and fennel seeds, and leave to cool.
For the zhoug, place all the ingredients except the oil in a blender, pulse to a coarse paste, then add the oil, blend again, and season to taste.
Heat a barbecue (or griddle pan). Cook the sardines for 3 to 4 minutes on each side, or until caramelised and charred. Serve alongside the pickled fennel, a drizzle of zhoug, and lemon wedges.
