Preheat oven to 400 F.
Heat a large, oven safe pan over medium heat. Add the olive oil and saute the yellow onion until it begins to soften, about 5-7 minutes.
Add the garlic, cumin, and red pepper flakes and continue to cook until they're fragrant, 1-2 more minute.
Add white wine, and scrape up any bits from the bottom of the pan. Continue cooking until the wine has reduced to 1 tablespoon.
Add the tomatoes and their juices, along with the salt, pepper, and dried oregano. Bring to a boil, then reduce heat to a simmer and continue to cook uncovered until the sauce thickens, about 15 minutes. Stir occasionally.
Remove the pan from heat, and nestle the shrimp on top, followed by the crumbled feta. Bake in preheated oven until the shrimp are cooked through, about 8-10 minutes. Be sure to use an oven mitt when removing your pan from the oven!
Top with fresh dill before serving and enjoy!