Place the flour, cornmeal, butter and feta in the food processor and pulse until crumbly. Add the olive oil and pulse just until the dough begins to hold together. Shape the dough into a little log. Wrap in plastic wrap and chill for at least an hour or freeze for up to a month. Thaw in the fridge if time allows.
Preheat oven to 375 degrees. Slice the shortbread and arrange on a ungreased cookie sheet. Grind some pepper over the slices and bake for 8-10 minutes, or until they are just beginning to color around the edges.
Serve at room temperature alongside soup or with a salad. Prep time includes refrigeration time.