First prepare the meatballs. Lightly toast the pine nuts either under a broiler/grill or in a dry skillet/frying pan. Keep a close eye on them as they can burn quickly.
Roughly dice the onion, garlic and herbs and put these and the pine nuts in a food processor. Pulse until relatively fine. Add the ground lamb, egg, cumin, turmeric and cinnamon and pulse until combined. You may need to use your hands to finish it off.
Take roughly tablespoonfuls of the mixture (I use my tablespoon measure as it also starts rounding them in to meatballs!) and roll the mixture into small balls.
Warm 1tbsp oil in a large pan and cook the meatballs in batches on all sides (at least 2-3) and remove to drain once they are cooked. Repeat until they are all cooked, adding more oil as needed. (These can be cooked ahead of time and allowed to cool, refrigerated if not using soon after cooking for a day or two. They can also be frozen and thawed before combining with the sauce, below.)
Halve and thinly slice the onions for the sauce, cutting longer pieces in half, slice the peppers, cutting longer lengths in half as well, and dice the tomatoes. Crush or finely chop the garlic.
Cook the onion over a medium heat (in the same pan as the meatballs unless you have pre-cooked and frozen of course), adding a little more oil if needed.
After the onion has cooked a minute or two, add the peppers and garlic and cook for around 5 minutes until all are softening but not browning, stirring regularly.
Add the tomatoes and parsley and cook for another 5-10 minutes until all is becoming very soft, stirring now and then and scraping any browning from the bottom of the pan into the sauce. (The sauce can also be made ahead of time and cooled and refrigerated a couple days.)
Push the meatballs into the sauce and cook for another 5 minutes or so until the meatballs are warmed through, turning if needed (covering will help if you have a lid for the pan).
Meanwhile crumble the feta and mash it in to the yogurt along with the cayenne pepper.
Serve the meatballs with the sauce, with dots of the feta-yogurt mixture on top. It's good served with bread and/or a salad or can be served over couscous or pasta.