Preheat oven to 500°.
Combine first 7 ingredients, 1/4 teaspoon salt, and 1/8 teaspoon black pepper in a small bowl. Toss gently.
Cut 4 (24-inch) lengths of parchment paper. Fold each in half; open each. Place 1 fillet near fold on each. Sprinkle fillets with 1/4 teaspoon salt and 1/8 teaspoon pepper. Top each evenly with vegetable mixture, feta cheese, and lemon juice.
Fold paper; seal edges with narrow folds. Place packets on baking sheets. Bake at 500° for 10 minutes or until puffed and lightly browned. Place on plates; cut open. Serve immediately.
Note: You may use aluminum foil in place of parchment paper.