Heat oven to 425° F.
Stir together the oil, tomatoes, scallions, capers, dill, ½ teaspoon salt, and ¼ teaspoon pepper in a medium ovenproof nonstick skillet.
Bake in oven until the tomatoes and scallions are softened and starting to caramelize, 13 to 15 minutes.
Whisk the eggs in a bowl. Add the Feta and season with ¼ teaspoon each salt and pepper.
Add the eggs to the skillet. Use a wooden spoon to distribute the tomatoes evenly, if necessary. Lower the heat to 375° F and carefully return the skillet to oven.
Cook until the frittata is just set in the middle, 10 to 12 minutes.
Serve garnished with more chopped dill.