In a large oven-safe pan, heat olive oil and add onions. Cook over medium heat until soft and translucent, about 5 minutes. Add garlic and cook until fragrant, one minute more. Add the oregano and tomato paste and cook for one more minute. Add the wine or stock and stir until evenly combined and the liquid reduces by half, another 3 minutes or so.
Turn off the heat and add the shrimp on top. Sprinkle feta over top and bake in the oven for 12 minutes, or until shrimp is just opaque and cooked through. Broil for 1 minute to brown slightly then remove from oven and sprinkle with parsley, lemon juice, and season with salt and pepper. Serve.
Notes
If you cannot place your pan in the oven, you can also transfer the onion and tomato mixture to an 8x8-inch baking pan and add the shrimp and feta to that before baking.