Heat oil in a large cast iron or any oven-safe skillet over medium-low heat. Add onion and bell pepper once the oil is hot. Cook gently until very soft, about 20 minutes.
Add garlic and cook until tender for 1 to 2 minutes; stir in cumin, paprika, and cayenne, and cook for 1 minute.
Pour in tomatoes and season with ¾ teaspoon salt and ¼ teaspoon pepper; simmer until tomatoes have thickened, about 10 minutes. Stir in crumbled feta.
Gently crack eggs into skillet over tomatoes — season with salt and pepper. Transfer skillet to oven and bake until eggs are just set 7 to 10 minutes.