Preheat your oven to 400°F (200°C) and lightly grease a small 6x6 inch oven-safe baking dish with a touch of olive oil.
Dice the red bell pepper, zucchini, and red onion into uniform, bite-sized pieces.
On a parchment-lined baking sheet, toss the vegetables with 0.5 tbsp olive oil, sea salt, black pepper, and dried oregano.
Roast the vegetables for 12-15 minutes until they are tender and slightly caramelized around the edges.
While the vegetables roast, whisk together the 2 whole eggs, 1 cup egg whites, and 0.25 cup Greek yogurt in a medium bowl until the mixture is smooth and aerated.
Remove the vegetables from the oven and transfer them into the bottom of the prepared baking dish.
Pour the egg mixture over the roasted vegetables and sprinkle the crumbled feta cheese evenly across the top.
Return the dish to the oven and bake for 15-20 minutes, or until the eggs are fully set in the center and the top is lightly golden.
Allow the dish to rest for 5 minutes before slicing to let the proteins set for a better texture.