Heat oil in a large OVEN-PROOF skillet. Add onion and garlic and cook until onion softens.
Add tomatoes and wine. Bring to a boil then cover it and let it simmer about 10 minutes, stirring occasionally.
Leaving shrimp tails intact, add them to the skillet along with parsley and oregano.
Preheat broiler while shrimp cooks covered for about 10 minutes, stirring occasionally.
Sprinkle cheese over shrimp mixture and place under broiler until cheese browns lightly.