Thaw scallops and swordfish, if frozen. Cut swordfish into 1-inch cubes. Cook fennel in boiling water for 4 minutes; drain and cool.
For marinade, in a plastic bag mix oil, lime juice, onion, thyme, fennel seed, and pepper. Add scallops, swordfish, fennel, sweet pepper, and mushrooms. Seal bag. Marinate in the refrigerator 1 hour, turning bag occasionally to distribute the marinade.
Drain fish and vegetables, reserving marinade. On eight 12-inch skewers, alternately thread scallops, swordfish, fennel, sweet pepper, and mushrooms, leaving about 1/4 inch between pieces. Place on the greased unheated rack of a broiler pan. Broil 4 inches from the heat for 5 minutes. Turn kabobs over and brush with reserved marinade. Broil 4 to 5 minutes more or until fish just flakes easily when tested with a fork and scallops are opaque. Makes 4 servings.