Heat the oven to 425F. Pat the chicken dry.
Toss the tomatoes, zucchini, onion, and olives on a sheet pan with 1 tablespoon of the oil, 1 teaspoon of the oregano, and the garlic. Push everything to the edges.
Rub the chicken with the remaining oil and oregano, season with pepper, and set it in the middle of the pan. Lay the lemon slices on top.
Roast 22 to 25 minutes until the chicken reaches 165F and the tomatoes have burst.
Squeeze the lemon juice over the whole pan and scatter the feta on while everything is still hot.