Heat the olive oil and minced anchovies in a large skillet over medium-high heat, stirring as the oil heats to dissolve the anchovies. Once the anchovies are sizzling, add the sea scallops, and cook without moving the scallops for 2 minutes.
Meanwhile, toss the bell peppers, onion, garlic, lime zest and lemon zest in a bowl; season to taste with salt and pepper. Sprinkle the pepper mixture onto the scallops, and continue cooking a few more minutes until the scallops have browned on one side. Flip the scallops over, stir the pepper mixture, and continue cooking until the scallops have browned on the other side, 4 to 5 minutes. Garnish with parsley sprigs to serve.