Heat oven to 375 degrees. Heat oil in a large skillet over medium-low. Add onion and bell pepper. Cook gently until very soft, about 20 minutes. Add garlic and cook until tender, 1 to 2 minutes; stir in cumin, paprika and cayenne, and cook 1 minute. Pour in tomatoes and season with 3/4 teaspoon salt and 1/4 teaspoon pepper; simmer until tomatoes have thickened, about 10 minutes. Taste and add more salt and pepper if needed. Stir in crumbled feta.
