In a medium saucepan, combine the water, lemon zest, orange juice, vinegar, mirin, sugar, salt, peppercorns, chilis, and thyme and bring to a boil. Add the sliced fennel, reduce to a very low flame, and simmer for 3 hours, until they are soft and have a pronounced pickled flavor. The pickled fennel can be made up to a week ahead; cover and refrigerate.
In a medium bowl, combine the olive oil with the chile powder, pepper, and salt. Add the puffed rice and stir to combine.
In a small bowl, combine the rice flour, nigella seeds, salt, pepper, and 2 tablespoons water. You should have a very loose batter, about the consistency of half and half. Add more water if necessary.
Heat the grapeseed oil in a medium skillet over medium-high heat. Dip each scallop in the nigella seed batter and place in the pan to sear on one side for about 30 seconds.
Using a large spoon, turn the scallops on their side and continue to sear them, basting with the oil and rolling them to sear on the sides.
Finally, turn the scallops to the remaining side and cook just long enough to sear. The scallops should be lightly browned but not cooked through.
Divide the pickled fennel among 4 plates. Thinly slice each scallop and arrange on the fennel.
Sprinkle the puffed rice around the plate. Serve with toasted slices of brioche.