Preheat oven to 400 degrees, with racks in upper and lower thirds.
Fold four 16-by-12-inch pieces of parchment in half; unfold and place one-quarter of fennel and chorizo along each crease.
Season both sides of fish with salt and pepper; place one fillet on each package.
Top with tomatoes, garlic, butter, and wine.
Remove zest from orange with a vegetable peeler; thinly slice into strips to yield 1 tablespoon.
Scatter evenly among packages; squeeze 1 teaspoon juice over each.
Fold parchment over to enclose, making small overlapping folds along edges to seal.
Transfer to 2 rimmed baking sheets.
Roast, switching rack positions once, until parchment puffs and fish is cooked through, 14 to 16 minutes.
Place each package in a shallow bowl and open carefully, allowing steam to escape.
Serve with fennel fronds, a drizzle of oil, and toasts.
