Pour ¼ cup water in a small bowl. Sprinkle 1 package unflavored gelatin powder over the surface of the water, making sure that most of the gelatin granules touch the water to moisten. Set aside, uncovered, for 5 minutes to allow the gelatin to soften.
Meanwhile, use a mortar and pestle to grind ¾ teaspoon saffron threads and a pinch of kosher salt until the threads start to turn into a fine powder — you don't need to make sure all the threads are completely pulverized, but the finer the powder, the smoother your panna cotta will be. Set aside.
In small bowl, combine ½ cup granulated sugar and fresh zest from 1 medium lemon. Use your fingers to rub the zest into the sugar to infuse the sugar with flavor and encourage the zest to release its oils.
Transfer the lemon sugar to a heavy-bottomed saucepan and pour 2 cups coconut milk over the sugar. Place over medium heat and cook, stirring regularly with a whisk, until the sugar dissolves completely and the cream is just about to boil — you should see a little steam coming off the pan and the tiniest of bubbles floating to the top of the cream at the edges of the pan.
Remove pan from heat and add the soften gelatin, whisking to combine until the gelatin is completely dissolved. Add the saffron powder and continue whisking until well combined and the mixture is a beautiful, speckled yellow. Pour into a 9-inch pan and refrigerate, uncovered, for at least 4 hours until set. Serve cold with your favorite berries and whipped cream.