Preheat oven to 425°F. Line a baking sheet with foil and set a wire rack on top.
Pat the chicken wings dry with paper towels.
In a large bowl, toss wings with baking powder, salt, pepper, and smoked paprika. Then air-dry them on the rack in the fridge overnight. In an oven, the overnight dry is what makes the skin blister instead of just brown, so do not skip it.
Arrange wings in a single layer on the rack and bake for 45–50 minutes, flipping halfway, until golden and crispy.
While the wings bake, make the sauce:
In a saucepan, combine all BBQ sauce ingredients. Simmer over medium heat for 5–7 minutes until slightly thickened. Set aside.
Make the fennel slaw:
In a bowl, mix shaved fennel, blood orange segments, lemon juice, olive oil, parsley, dill, and salt. Let sit for 10 minutes.
Toss baked wings in half of the citrus BBQ sauce.
Arrange on a platter. Garnish with parsley, orange zest, and optional charred citrus.
Serve with fennel slaw and reserved sauce on the side.