Preheat the oven to 350 degrees F. Lightly spray a shallow baking dish with cooking spray.
Peel the shrimp, leaving the tails intact. With a sharp knife, carefully slice the spine of each shrimp from head to tail, cutting almost all the way through the shrimp. Remove the dark vein, and rinse the shrimp. With your fingers, carefully spread apart the shrimp and flatten the halves on a flat surface.
In a small bowl, combine the panko, feta, parsley, roasted red pepper, lemon juice, garlic, lemon zest, egg yolk and 4 tablespoons melted butter; stir well. Spoon about 1 tablespoon of the panko mixture onto each butterflied shrimp, mounding it if necessary. Place the stuffed shrimp in the prepared dish.
Pour the wine and the remaining 3 tablespoons melted butter around the shrimp in the baking dish. Bake until the shrimp are pink and firm. Transfer the shrimp to serving plates and drizzle with the pan juices.