Preheat oven to 400°F (200°C). Line a baking sheet with parchment.
If using raw shallot, sauté briefly in olive oil until soft; cool slightly.
In a bowl, mix roasted peppers, feta, cream cheese, shallot, oregano, salt, and pepper until combined.
Unfold puff pastry and cut into 6 or 8 squares depending on desired size.
Spoon about 1 tbsp filling onto each square, fold into triangles, and press edges with a fork to seal.
Brush tops with beaten egg and bake 15–18 minutes until puffed and golden.
Cool 5 minutes before serving so the filling sets.