Heat oil in a skillet over medium heat. Saute onion in oil until transparent. Stir in green onions and garlic; cook, stirring frequently, for 2 more minutes. Stir in tomatoes, wine, most of the parsley, oregano, and salt and pepper to taste. Cover, and simmer gently for 30 minutes.
Preheat oven to 500 degrees F (260 degrees C).
Spread half the sauce on the bottom of a large oven dish. Arrange shrimp evenly over sauce, and pour the remaining sauce on top. Sprinkle with feta cheese.
Cook in preheated oven for 10 to 15 minutes, until shrimp are pink and the feta is melted and lightly browned. Sprinkle with remaining parsley, and serve immediately.