Preheat the oven to 400 degrees.

Heat 2 tablespoons of the olive oil in a 10- or 12-inch heavy ovenproof skillet over medium-low heat. Add the fennel and sauté for 8 to 10 minutes, until the fennel is tender.

Add the garlic and cook for 1 minute. Add the wine and bring to a boil, scraping up any browned bits. Cook for 2 to 3 minutes, until the liquid is reduced by half.

Add the tomatoes with the liquid, tomato paste, oregano, Pernod, salt, and pepper to the skillet. Simmer over medium-low heat, stirring occasionally, for 10 to 15 minutes.

Arrange the shrimp, tails up, in one layer over the tomato mixture in the skillet. Scatter the feta evenly over the shrimp. In a small bowl, combine the bread crumbs, parsley, and lemon zest with the remaining 2 tablespoons of olive oil and sprinkle over the shrimp. Bake for 15 minutes, until the shrimp are cooked and the bread crumbs are golden brown.