Remove the shells and veins from the shrimp and wash them thoroughly.
Sauté the shrimp with salt and pepper in a pan with olive oil.
Thinly slice lettuce, tomato, cucumber, and red onion.
Mix Greek yogurt with lemon juice, minced garlic, and herbs (dill or oregano) to make the sauce.
Split the bread (ciabatta or baguette) in half and lightly toast.
Spread the sauce on the bread and add the prepared vegetables and shrimp.
Sprinkle feta cheese as desired to finish the sandwich.