Melt the butter over medium heat in a medium (3-quart) saucepan. Add the fennel and onion and cook, stirring often, until softened, about 6 minutes. Add the rice and cook, stirring, until the grains are glossy and beginning to crackle, about 2 minutes. Add the broth, orange zest, bay leaf, and salt. Bring to a boil, cover, and lower the heat to a simmer. Simmer until the rice is tender and all the liquid has been absorbed, about 17 minutes. Off the heat, remove the lid, lay a kitchen towel over the pot, replace the lid, and let sit for 5 to 10 minutes. Fluff the rice with a fork and serve.