Preheat the oven to 450 degrees
Rinse the shrimp under cold running water and transfer to a paper towel lined plate. Pat dry and set aside.
In a mixing bowl combine the breadcrumbs, pecorino cheese, oregano, garlic, lemon zest, parsley and olive oil. Whisk with a fork until the mixture looks like wet sand. Taste for seasoning and season with salt and pepper as desired. Set aside.
Drizzle enough extra virgin olive oil to coat the bottom of a roasting pan. Add the wine to the bottom of the pan as well. Add the shrimp and arrange in a single layer. Spoon the breadcrumb mixture over each shrimp and drizzle the top with extra virgin olive oil. Bake until the shrimp are cooked through, about 10 minutes. Broil on height for 2-3 minutes or until the breadcrumbs are golden brown.
Serve with a squeeze of fresh lemon juice.