Saute the onion and garlic in the olive oil until the onion softens. Add the white wine, tomatoes, thyme, salt and pepper. Cook for 10 or so min. on low heat.
Arrange the pre-cleaned shrimp in an oven dish and pour on the sauce.
Add pieces of feta cheese, sprinkle with parsley and put in a preheated 356°F (180 °C) oven. The dish will be ready after about 20 min.