Preheat oven to 400°F. Mash tomatoes until chunky. Warm oil in an ovenproof skillet over medium heat. Sauté onion for 7 minutes until tender. Add garlic; sauté 1 minute. Season with salt and pepper.
Add tomatoes; simmer, stirring, until most of liquid has evaporated, about 5 minutes. Stir in shrimp and oregano, then sprinkle feta on top.
Place skillet in oven; bake until shrimp are opaque, approximately 10 minutes. Serve hot.
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