If roasting your own red peppers, preheat oven to 400 degrees F. Lay peppers on a greased cookie sheet. Bake for 20 mins on one side, then flip and bake for 20 mins on the opposite side. Keep baking until the peppers appear withered and the skin is a bit blackened.
Reduce oven temperature to 350
Sautee the onion in a small amount of olive oil for about 5 minutes. Set aside.
In a large pan, add chopped tomatoes and bell peppers and simmer for about 10 minutes. Most of the liquid should cook out of the mixture.
Mix onions into tomato and pepper mixture, and then set aside to cool.
In a separate saucepan, melt the butter. Mix in the flour to form a roux.
Stirring continuously, add feta. Continue to cook until the feta has melted and the mixture is very thick. Add the yogurt.
Once the roux is complete, stir it into the vegetable mixture. Season with salt and pepper.
Transfer the mixture into a 9x9 casserole dish and cook for 30 minutes.