Preheat oven to 350˚F. Cut the cabbage in half and cut each half into thirds (see note). Heat a large, oven-safe skillet over medium-high heat. Add 3 tablespoons of olive oil and place the cabbage in the hot skillet and sear each side of the cabbage. Transfer to a plate.
Add the remaining tablespoon of olive oil followed by the minced onions and salt. Cook until the onions are tender, about 8 to 10 minutes or so. If your onions are starting to brown, reduce the heat. Once the onions are tender, add the garlic and cook for another minute or two.
Next, stir in the sherry and scrape any bits stuck to the bottom of the pan. Add the tomato paste, smoked paprika, cumin, and cook for a minute or two. Add in the crushed tomatoes, water, and beans. Stir and heat for a minute.
Nestle the cooked cabbage in the tomato mixture and place the skillet in the preheated oven. Cook the cabbage for about 35 to 45 minutes until the tomato mixture has thickened, and the cabbage is tender.
Mince the parsley and zest together until well combined. Sprinkle on top and sprinkle with feta before serving.