Combine lemon zest, ½ tsp salt, and ½ tsp pepper in medium bowl. Add shrimp, toss to coat, and refrigerate until ready to use.
Heat 1 tbsp oil in 12 nonstick skillet over medium-high heat until just smoking. Add onion and cook until softened, about 5 minutes. Stir in garlic and cook until fragrant, about 30 seconds. Add orzo and cook, stirring frequently, until orzo is coated with oil and lightly browned, about 5 minutes. Stir in broth and water and bring to boil. Cook, stirring occasionally, until orzo is al dente, about 6 minutes. Stir in olives, ¼ cup feta, and lemon juice. Season with salt and pepper to taste.
Reduce heat to medium-low, nestle shrimp into orzo, cover, and cook until shrimp are opaque throughout, about 5 minutes. Sprinkle with parsley and remaining ¼ cup feta and drizzle with extra oil. Serve.