Preheat the oven to 350 degrees . On a rimmed baking sheet, toss the shrimp with the lemon juice and arrange in a single layer. Set aside.
In a large skillet, heat the olive oil over medium-high heat. Add the onions and cook until softened, about 5 minutes. Add the garlic, tomato puree, oregano, bay leaf and 1/2 teaspoon each salt and pepper. Lower the heat and simmer for 15 minutes.
Discard the bay leaf and pour the sauce over the shrimp; sprinkle the feta on top. Bake in the oven for 15 minutes, then place under the broiler until the feta is lightly browned, 3 to 5 minutes. Serve with the lemon wedges.