Preheat the oven to 425 degrees.
In a large saucepan over medium high heat, add the olive oil. Just before it begins to smoke, remove the pan from the heat, turn down the heat, place the pan back on the cooktop and then add the onions. Sprinkle a bit of kosher salt over the onions to season and stir. Allow the onions to cook until they wilt, about 3-5 minutes. Add the garlic and another dash of salt. Stir to combine and cook for another minute.
Now add the chopped tomatoes and all of the lovely juice. Add another dash of salt, stir well and allow to come to a boil (if you need to, increase the heat now). Once it boils, turn the heat down and allow to simmer for 10-15 minutes, stirring occasionally.
Once it has cooked down and is thickening up a bit, add the red peppers flakes, paprika, oregano and freshly ground black pepper.
Stir to combine and then carefully nestle the shrimp into the tomato sauce. Sprinkle the crumbled feta over the top and pop the dish into the oven. Let it cook for 10-12 minutes.
Remove the pan from the oven and serve. Top with a squeeze of lemon and a little zest and then a sprig of oregano for garnish.