Preheat the oven to 375 degrees F (190 degrees C).
Heat the oil in an ovenproof skillet over a low-medium heat.
Add the bell pepper and onion and cook gently for 20 minutes or until tender.
Add the garlic and cook for a minute or 2.
Stir in the cayenne, paprika and cumin, and cook 1 more minute.
Add the tomatoes, salt and black pepper.
Simmer for 10 minutes then stir in the feta cheese.
Crack the eggs into the skillet and season with more salt and black pepper.
Put the skillet in the oven and bake for 8 minutes or until the eggs are set.
Serve sprinkled with cilantro and offer hot sauce on the side.