In a small bowl, combine evoo, vinegar, lemon zest and oregano. Place fish on a greased baking sheet and top with salt, pepper, and onions. Drizzle with the sauce and bake 15 to 20 minutes or until fish is flaky and just cooked through.
Meanwhile, in a medium bowl, combine yogurt, feta, dill and lemon juice. Serve fish with lemon wedges and a dollop of feta sauce.