Cut the stems and top half inch off the bell peppers and scoop out the seeds and membranes. Drizzle with 1/2 tablespoon of olive oil and sprinkle with salt and pepper. Place the peppers upright in a baking dish and roast for 20 minutes or until just tender.
Meanwhile, in a medium saucepan over medium heat, drizzle the remaining olive oil and add the onion, zucchini, oregano and lemon zest. Season with the salt and pepper. Cook for 5 minutes, stirring frequently or until the vegetables are softened.
Remove from heat and stir in the orzo, lemon juice and 2/3 of the feta. Fill the peppers with the mixture and top with the remaining feta.
Return them to the oven for 20 minutes and bake until the cheese is golden brown. Serve warm or at room temperature.