Preheat broiler. Slice zucchini in half lengthwise, then slice thin half moon shapes. Slice shallots and dice bell pepper.
Spray a medium-sized, oven-proof skillet with cooking spray and place over medium heat. Once heated, add zucchini, mushrooms and shallot. Cook until soft; approximately 5 minutes.
Whisk eggs together with milk, in a small mixing bowl. Pour into the skillet with the sautéed vegetables; add oregano, salt and pepper. Sprinkle with feta cheese.
Continue to cook until the edges begin to crisp. Remove from stovetop and place skillet into oven to broil until the top browns. Remove from oven; cut into squares. Serve warm.