Transfer the jalapeño and onion to a rimmed baking sheet and brush lightly with oil. Sprinkle with salt. Roast until slightly charred, 15 to 18 minutes.

In a blender or food processor, combine the roasted jalapeño and onion, feta cheese, and olive oil. Pulse until the mixture is smooth and creamy (there should still be a few jalapeño and onion chunks left).

Transfer the dip to a shallow plate or bowl and serve with carrots, celery, pita, pita chips, spread onto toast, or with your own homemade mezze bowls.