Preheat your oven to 400°F and line a large baking sheet with parchment paper for easy cleanup.
Toss the diced bell peppers, red onion, and zucchini with olive oil and dried oregano until evenly coated.
Spread the vegetables in a single layer on the baking sheet and roast for 15 minutes until tender and slightly caramelized.
While the vegetables roast, whisk the whole eggs and egg whites together in a medium bowl until the mixture is uniform.
Heat a non-stick skillet over medium-low heat and pour in the egg mixture, allowing it to sit for a moment before stirring.
Gently move the eggs with a spatula to create soft curds, continuing until they are nearly set but still moist.
Fold the roasted vegetables and crumbled feta cheese into the eggs, cooking for one more minute to incorporate the flavors.
Season the scramble with sea salt and black pepper before serving immediately while hot.