Place the saffron threads in a very small bowl or cup and cover with two tablespoons of hot water. Set aside for at least 10 minutes.
Melt the coconut oil in a large stock pot over medium heat. Stir in the cayenne (if using), cumin, paprika, bay leaves, and salt, and cook, stirring frequently for 1-2 minutes. Add the leeks, garlic, squash, and carrots, and toss to coat in the spiced oil. Cook 8-10 minutes, until the vegetables begin to soften. If the pot begins to dry out, add a bit of water. Add the split peas and stir to combine. Pour in the stock, and add the saffron threads and the soaking water. Bring to a boil, then reduce to a simmer, and cook for 25-30 minutes, until the split peas and vegetables are cooked through and tender. Remove the bay leaves.
Purée the soup using an immersion blender or an upright blender (if you use an upright, be sure to blend in batches!) until smooth. If it seems too thick, add some water until it's reached your desired consistency. Stir in the lemon juice. Taste and adjust seasonings if needed. Serve hot with more lemon wedges on the side.