Soften saffron in 1 tablespoon hot water and set aside. Cook onion in oil in a 3-quart heavy saucepan over medium heat, stirring occasionally, until softened, about 6 minutes. Add orzo and toast, stirring frequently, until fragrant, 2 to 4 minutes. Stir in saffron mixture, remaining 2 cups water, and 1 teaspoon salt and simmer, covered, until orzo is just tender and liquid is absorbed, about 12 minutes. Sprinkle fennel bulb over orzo and let stand, covered, off heat 5 minutes. Stir fennel bulb into orzo, then serve sprinkled with fennel fronds.