Heat the olive oil in a medium saucepan over medium heat. Add the shallots, garlic, carrots, celery, salt, and pepper, and cook until beginning to brown, about 5 minutes. Add the saffron and millet, and cook, stirring, 1 minute more. Add the water, lemon juice, and lemon zest. Bring to a simmer; cover, reduce heat to low, and let cook until all water has been absorbed, about 25 minutes. Turn off heat, and let sit, covered, until tender, 10 minutes more.
Add the parsley, and stir with a fork to combine parsley and fluff pilaf. Serve garnished with lemon zest.