Preheat your oven to 400°F (200°C). Line a baking sheet with parchment paper.

In a large bowl, combine the sliced red and yellow bell peppers and red onion. Drizzle with 1 tablespoon of olive oil, and season with salt and pepper. Toss to coat evenly.

Spread the vegetable mixture onto the prepared baking sheet in a single layer. Roast in the preheated oven for 20 minutes, or until the vegetables are tender and slightly caramelized.

While the vegetables are roasting, heat the remaining tablespoon of olive oil in a large skillet over medium heat. Add the minced garlic and sauté for about 1 minute, or until fragrant.

Add the shrimp to the skillet and season with smoked paprika, dried oregano, salt, and pepper. Cook for 3-4 minutes, stirring occasionally, until the shrimp are pink and opaque.

Once the vegetables are done roasting, add them to the skillet with the shrimp. Gently toss to combine all the ingredients.

Remove from heat and sprinkle the crumbled feta cheese and chopped parsley over the top. Serve immediately with lemon wedges on the side for squeezing over the dish.