Heat the olive oil in a large, heavy-bottomed saucepan over medium-high heat. Add the Scotch bonnet, shallots, and garlic. Stir. Let vegetables flavor the oil (about 1 minute). Then add the clams, mussels, star anise, and black pepper. Stir. Then add the orange juice and cover the pot. Remove the clams and mussels as they open to a colander set over a bowl to catch the liquid. (They start opening after about 3 minutes; just take them out as they open and cover the pot again and keep checking for more open ones.)
Allow the orange and shellfish juices to reduce, uncovered, until about 1cup of liquid remains, about 10 minutes. Now add the saffron, heavy cream, and coconut milk. Allow to boil, stirring occasionally. (Be careful; cream can boil over in a split second.) Reduce the cream until it will just barely coat the back of a spoon (about 15 to 20 minutes). Turn off and strain. Discard the solids and reserve the flavored cream. Meanwhile, take the cooled mussels and clams out of their shells, reserve the meat, and toss the shells.