Warm the olive oil in a large pot. Saute the onions for 8-10 minutes until soft. Stir in the tomato paste and cook, stirring, until it coats the bottom of the pot, but doesn’t burn, just a few minutes. Add the canned tomatoes, parsely, oregano, salt, pepper and garlic. Bring to a simmer then lower heat and cook, partially covered, stirring occasionally, for 50 minutes.
Preheat the oven to 325 degrees.
Toward the end of the cooking time for the sauce, cook the shrimp. Combine the wine, lemon juice and garlic in a saucepan. Bring to a simmer and add the shrimp and a pinch of salt. Cook until shrimp are just cooked, about 2-3 minutes depending on the size of your shrimp. Remove from the heat, and stir into the tomato sauce.
Begin to cook the rice according to package directions. It should take roughly 20 minutes so plan accordingly. Ten minutes before the shrimp goes into the oven is a good time to start the rice.
Pour the shrimp and sauce into a 9x13” deep casserole dish. Scatter the feta evenly over the shrimp and place in the oven for 10-15 minutes, until the feta is starting to get slightly browned. Remove from the oven, and scatter the dill over top if using. Serve with the cooked rice.
*The sauce and shrimp can be prepared ahead of time, cooled down and refrigerated until ready to bake. If going into the oven cold, bake for 30-40 minutes at 300 until warmed through.