Heat oven to 450° F. Slice each eggplant in half lengthwise, cutting only about 3/4 of the way through so the eggplant halves remain attached at the top. Arrange the eggplants in a baking dish at least 2 inches deep, such as a 9-by-13-inch pan. Thinly slice 1 lemon. Squeeze the juice from the remaining 2 lemons. Insert the lemon slices into the slit in each eggplant, then press some garlic and oregano into each slit. Season with the salt and pepper. Drizzle the eggplants with the lemon juice and oil. Cover with foil and roast, basting frequently with the juices in the dish, until the eggplants are very soft, about 40 minutes. Remove foil and roast for 5 more minutes. Transfer to individual plates and top with the pan juices and Feta.