Preheat your oven to 400°F (200°C).
Dice the zucchini, red bell pepper, and red onion into small, uniform bite-sized pieces.
In a small oven-safe skillet or baking dish, toss the diced vegetables with olive oil, sea salt, black pepper, and dried oregano until well coated.
Place the skillet in the oven and roast for 15-20 minutes, or until the vegetables are tender and 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.
In a small bowl, lightly whisk the egg whites, then pour them into the skillet so they fill the gaps between the roasted vegetables.
Carefully crack one whole egg into each of the three wells you created.
Return the skillet to the oven and bake for 8-10 minutes, or until the egg whites are fully set but the yolks are still slightly runny.
Remove from the oven and top with crumbled feta cheese, a dollop of Greek yogurt, and a sprinkle of chopped fresh parsley before serving warm.