Thaw the shrimp overnight in a colander in the refrigerator. In a saucepan, sauté the onion, garlic, pepper and thyme in olive oil for 4 minutes. Add the shrimp and continue cooking for another 2 minutes.
De-glaze with the ouzo and add the tomato. Simmer for 6-7 minutes. Transfer the shrimp and the sauce to a heatproof dish and top with the cubed feta. Bake in a per-heated oven (250°C) for 3 minutes until crisp on top.