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.
