Preheat oven to 350 degrees F. Oil an 8-inch-square glass baking dish or large glass pie plate. In a bowl, whisk together olive oil, lemon juice, chili pepper, 1 tablespoon of the oregano, sugar, and salt. Add shrimp to bowl, toss well, then pour contents into baking dish. Top with artichokes, crumbled feta, and red onion. Bake uncovered until shrimp is pink and just firm, about 25 minutes. Cool shrimp to room temperature, poor off excess liquid, and chill in refrigerator overnight.
To serve, arrange 8 whole lettuce leaves on a serving platter. Spoon some shrimp onto each leaf and garnish with remaining tablespoon of fresh oregano.