In a small bowl, mix the feta, yogurt, herbs, lemon zest, and garlic. Season to taste with freshly ground black pepper. Set the mixture aside, or refrigerate until needed. Use it within 5 days.
Before starting cooking peppers, create a simple frying station. For this, in one shallow bowl, mix the flour and a good pinch of salt, about 3/4 teaspoon. In a second bowl, whisk the egg with 1 tablespoon of water and a small pinch of salt. Lastly, spread the panko mixed with chopped herbs, on a medium plate. This set up will make the frying process fast and efficient.
Pat dry the peppers with a paper towel and place close to the bowl of flour. Line a baking sheet with paper towels and place it near the frying pan.
Heat 1/4 cup of oil in a large frying pan. When the oil is hot and shimmering, dip the peppers first in flour, then in egg mixture, and in panko. Then fry them in hot oil until both sides are crispy and golden brown. Add more oil if needed. Fry the peppers in batches and don't overcrowd the pan. Place them on a baking sheet lined with paper towels.
Serve the peppers immediately, with the feta dip on the side.
Notes
For this recipe, you can use jarred roasted peppers. Just gently rinse them in cold water and pat dry with a paper towel. If the peppers have skin, peel it off.