Preheat oven to 350° F.
Fold a piece of parchment paper in half to create a 13 x 18-inch rectangle. Using scissors, cut the paper to form a large half-circle with the fold as the straight edge of the half-circle so that when unfolded, it looks like a full circle. Do it again for the other fillet.
Slice each mahi fillet diagonally on the bias, into 3 equal pieces. Combine adobo and ground annatto seed (both available in Latin markets) and sprinkle on both sides of the fillets.
Unfold the parchment paper and spread about 2 tablespoons of the vegetable sauté on half of the circle. Place one piece of a fillet on top of the veggies and layer with 4 Tbsp vegetable sauté, a slice of tomato and another fillet piece, more veggies and tomato and the third fillet piece, topped with veggies and fresh thyme sprigs. Do the same thing with the other mahi fillets, on the other piece of parchment paper.
Fold the empty side of the parchment paper over the fish and veggies and seal the edges by crimping and folding 1/2-inch deep and 2-inch long folds, all the way around. Place pouches on a baking sheet and bake in the middle of a preheated 350° F oven for 18 to 20 minutes. When done, the paper pouch will puff from the steam trapped inside. You can carefully unroll an edge of the pouch (it will be steaming hot) and insert an instant read thermometer into the center fish fillet. It should read 150 to 155 degrees when done.
Serve with black beans and yellow rice.
Makes: 4