Heat the olive oil in a Dutch oven or large, heavy-bottomed pot. Season the lamb with salt and pepper; cook in the hot oil until browned, 2 to 3 minutes. Add the garlic; cook and stir 1 minute. Pour the red wine and chicken broth into the pan and bring to a boil while scraping the browned bits of food off of the bottom of the pot with a wooden spoon. Reduce the heat to medium-low; add the tomatoes, oregano, and bay leaf to the pot. Simmer gently until the lamb is tender, about 45 minutes.
Raise heat to medium-high. Add the potatoes, green beans, red pepper, and zucchini to the pot. Cook until the vegetables are tender, another 15 to 20 minutes. Sprinkle the parsley over the soup. Remove the bay leaf and season with salt and pepper before serving.