Preheat the oven to 425 degrees and liberally coat a baking sheet with olive oil.
Place the vegetables on the baking sheet then flip so that both sides are lightly coated in the oil and the flattest part of the vegetable is touching the tray.
Sprinkle with salt and pepper.
Bake for 20 minutes, then peek under the squash and the onion slices to see if the bottoms are golden brown. If they are not, roast in 5-minute increments, checking for a nice bit of golden brown.
When they are golden and just tender, remove from the oven, change the oven setting to broil, and sprinkle the squash and onions with the feta cheese.
Broil for 1-2 minutes, watching closely, or until the feta is starting to brown.
Remove from oven and sprinkle with chopped fresh thyme, if desired.