Bring a sauce pan of water to boil. Salt generously and add pasta. Cook until al dente, tender but not soggy. About 1 minute before finishing, add in broccoli. Drain. Toss with olive oil, lemon juice and zest. Season with some salt and pepper and more lemon juice, to taste.
While pasta is cooking, heat a skillet or frying pan over medium-high heat. Add cooking oil. When oil begins to shimmer, add onions and bell peppers and saute until softened, 2 to 3 minutes. Add garlic, oregano and red pepper flakes and saute until fragrant, about 1 minute more. Add tomatoes (including juice) and stir to combine. Simmer until sauce thickens, 4 to 5 minutes. Season with some salt and pepper. Remove from heat and stir in shrimp. Crumble feta over the top.
Transfer to oven and bake until shrimp are cooked through and cheese is golden brown, 10 to 12 minutes.