Bring a large pot of lightly salted water to a boil. Cook orzo in the boiling water, stirring occasionally until cooked through but firm to the bite, about 11 minutes. Drain.
Heat oil in a large skillet over medium heat; cook and stir onion until slightly softened, about 3 minutes. Add garlic and cook until fragrant, about 1 minute. Mix tomatoes in juice, water, wine, oregano, and salt into onion mixture; cook and stir until sauce is thickened, about 10 minutes.
Mix shrimp into sauce and cook until shrimp are cooked through, 2 to 3 minutes. Stir feta cheese and parsley into sauce; serve over orzo.