Pre-heat oven to 450 degrees. Season shrimp with salt and pepper, set aside. Heat 1 tablespoon of oil in a large saucepan over medium heat. Add shrimp and cook for 2 to 3 minutes. Transfer to a 8 x 8 inch baking dish.
In the same saucepan over medium heat add the remaining oil. Sauté the green onion until soft. Sauté the green onion until soft. Add the garlic, oregano and cayenne and cook for 2 - 3 minutes. Add tomatoes and simmer for 5 minutes.
Remove from heat and pour sauce over the shrimp. Sprinkle the cheese over shrimp and sauce. Place in oven for 2 minutes to warm cheese. Remove from oven and sprinkle parsley on top of cheese. Serve immediately.