Pre-heat the oven to 180C(356F) fan-forced.
Spray a large baking dish with a little oil.
Lay out the capsicum and onion wedges then place the chipolatas on top.
Sprinkle with feta and oregano and tuck in the lemon wedges.
Season with salt and pepper.
Bake for 20 minutes or until the sausages are cooked through.
Serve warm.