Remove the mushroom stems and finely chop about half of them. Mix the chopped stems with feta, Greek yoghurt, garlic, red onion, parsley, oregano, lemon and plenty of black pepper. You probably won't need salt because of the feta.
Lightly coat the mushroom caps with the olive oil, fill generously, then air fry at 180°C for about 8–10 minutes. Finish at 210–220°C for 2–3 minutes to get some colour on the filling.
I'd serve them warm with a little lemon zest and parsley.