Heat oil in a large oven-safe skillet over medium-low heat.
Add onions and peppers. Cook gently until very soft, about 20 minutes (onions should be golden).
Add garlic and cook until tender, about 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 20 minutes.
Stir in crumbled feta.
Gently crack eggs into skillet over tomato sauce. Season with salt and pepper.
Transfer skillet to oven and bake until eggs are just set, 7 to 10 minutes.
Sprinkle with cilantro and serve with hot sauce. Serve immediately.
Notes
* You could make the sauce ahead of time. If you do reheat it in the pan on top of the stove before adding the eggs. * My favorite feta is actually French – Valbreso. Wegmans sells it in a block and crumbled. * You could add two more eggs and easily serve 4 people.