Baked Shrimp in Tomato Feta Sauce

1 Tbsp olive oil
1 medium onion, chopped
2 cloves garlic, minced
2 14.5-ounce cans of diced tomatoes
1/4 cup minced fresh parsley
1 Tbsp minced fresh dill or 1 teaspoon dried dill
1 to 1 1/4 pounds medium sized raw shrimp, peeled and deveined (can leave tails on), thaw if frozen
Pinch of salt, more to taste
Pinch black pepper, more to taste
3 ounces feta cheese (about 2/3 cup, crumbled)