Preheat your oven to 400°F (200°C).
In a small oven-safe cast iron skillet or baking dish, toss the diced red bell pepper, zucchini, and red onion with the extra virgin olive oil, sea salt, black pepper, and dried oregano.
Spread the vegetables into an even layer and roast in the oven for 12 to 15 minutes until they are tender and just starting to brown at the edges.
Remove the skillet from the oven and use a spoon to create three small wells in the vegetable mixture.
Carefully pour the liquid egg whites over the vegetables, then crack one whole egg into each of the three wells.
Return the skillet to the oven and bake for another 8 to 10 minutes, or until the egg whites are completely opaque and set, but the yolks are still soft.
Remove from the oven, sprinkle with crumbled feta cheese, and serve immediately.