Preheat oven to 425 degrees f.
Heat oil in a large, oven-proof skillet over medium-high heat.
Add onion and cook for about 3 minutes, stirring, until softened a bit.
Add garlic, cook for 1 minute more.
Add tomatoes and their juice, wine or stock, Italian seasonings, sea salt and pepper and bring to a low boil.
Reduce heat to medium-low and let sauce simmer for about 5-10 minutes, or until liquid thickens.
Add the shrimp into the sauce and sprinkle feta over the top.
Place skillet in the oven and bake until shrimp is cooked through, for about 12-15 minutes.
Sprinkle with fresh chopped parsley.