In a large sauce pan, melt butter over medium high heat. Add in shallots, and cook until shallots become tender ad translucent, about 3-4 minutes.
Add in peas and water, and stir to combine. Bring the mixture to a simmer, and cook for about 10 minutes, until the peas are softened.
Remove from heat, and carefully pour into a blender and add in the feta and parsley. Puree until smooth.
Pour soup back into pan and set over low heat to keep warm. Season with salt and pepper, and stir in the yogurt. Whisk until smooth, and add additional salt and pepper as desired.