In a skillet cook the onions in the olive oil over moderate heat, stirring occasionally, until soft. Add the tomatoes, wine, parsley, garlic and salt and pepper to taste. Bring to a boil and simmer, covered, for 30 minutes. Let cool. Stir in shrimp.
Preheat oven to 450 degrees F. Spoon the tomato and shrimp mixture into a gratin dish, top with the feta and bake for 10 minutes, or until mixture is bubbling and shrimp are cooked through.