Preheat oven to 180 degrees. Line a flat baking tray with baking paper and place mushrooms and whole capsicums on tray. Drizzle with olive oil and season with salt and pepper. Roast for 15 minutes until golden and capsicums have blistered.
Once cooled a little cut capsicums in half lengthways and remove stem and seeds. Slice thinly. Whisk eggs and cream together in a small bowl. Season well. Heat a crepe pan or shallow fry pan on high and add a splash of olive oil or knob of butter. When hot (butter should be sizzling) pour in half of the egg mixture and swirl the pan to coat the bottom evenly. Place half the mushrooms and capsicum mixture on one side of the omelette and crumble over ½ of the feta. Flip the unfilled side of the omelette over to cover the filling. Cook for a further 2 minutes (or until omelette is firm) and serve immediately. Repeat for second omelette.