In a medium nonreactive saucepan, combine white wine vinegar and the saffron threads. Over medium heat, bring to a simmer and then remove from heat and cool. Whisk in the oils, salt and pepper. Set aside.
Prepare a charcoal grill with wood charcoal. While the wood charcoal warms up, soaked some mesquite wood chips in a small bowl. The grill should be very hot 600-700 degrees F.
Put the clams in a 12-inch cast iron skillet. Add tomatoes, onions, and garlic. Pour the saffron vinaigrette over the clams mixture. Cover the skillet tightly with heavy duty foil. Add the drained soaked mesquite wood chips to the charcoal. Put the skillet on the grill rack and cover the grill. Cook for 5-6 minutes. Uncover the grill and skillet. Continue to cook until the clams open. Discard any clams that do not open during a reasonable cooking time.
Toast baguette slices. Drizzle lemon juice over the clams and sprinkle with chopped parsley. Serve with toasted baguette slices and Spanish Albariño wine.