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Preheat the oven to 425°F.
Place a rack in the top position.
On a large sheet pan, toss the broccolini, tomatoes, and onion with ¼ cup oil, ¾ teaspoon salt, and ½ teaspoon pepper.
Add the salmon to the sheet pan, drizzle with about 1 tablespoon oil, and season with ½ teaspoon salt and ¼ teaspoon pepper. Roast the salmon and veggies on the top rack for 10 minutes.
While the salmon roasts, in a medium bowl combine the mayonnaise, feta, mustard, 1 tablespoon oil, lemon zest and juice, half of the parsley (if using), and ½ teaspoon pepper. Stir to combine.
Rotate the sheet pan, switch the oven to broil, and continue cooking until the salmon is cooked through and the veggies are tender and browned in spots, 3 to 5 minutes.
Top with the remaining parsley (if using) and serve drizzled with the feta sauce.