Kosher salt and freshly ground black pepper to taste
For the salad, first preheat the oven to 375°F.
In a medium sized bowl, toss the lemon wedges with a teaspoon of olive oil and a pinch of salt. Spread them out on one end of a rimmed baking sheet. In the same bowl toss the tomatoes with the other two teaspoons of olive oil and a pinch of salt, and spread them out, cut side down, on the rest of the baking sheet. Bake for 20 minutes, until the lemons are turning golden brown and the tomatoes are starting to shrink. Remove from the oven and let cool to room temperature.
Meanwhile, take the zucchini and using a vegetable peeler press it against the side of the zucchini and pull down so that you create long, almost transparent strips the length of the zucchini. Keep rotating the zucchini so that you get nice wide flat strips, making sure to stop before you get to the seedy core. Place the slices in a large serving bowl, and toss with the romaine and slivered onion. At this point you may separate out some of the lettuce, zucchini and onions, and just sprinkle over a bit of the feta before tossing with the dressing. For the rest, top with the olives, roasted tomatoes and roasted lemon. Sprinkle on the ¼ cup crumbled cheese.
For the dressing, mash the feta with the vinegar, thyme and oregano with a fork until well blended. Whisk in the olive oil, and continue to mash and stir until smooth. You can add a bit of water as you like to achieve a thinner texture, if you like. Season with salt and pepper.
Drizzle the dressing over the salad, toss and serve.