Rinse the squid tubes inside and out and thoroughly dry them on a paper towel.
Crumble the feta cheese into a small bowl and add the shrimp, lemon zest, oregano, salt and pepper. Stir to thoroughly combine.
Using a small spoon, loosely fill each squid tube with about 1 1/2 tablespoon of stuffing.Press the top of the squid tube together and skewer a round wooden toothpick through to securely enclose the stuffing. Do not overstuff the squid.
Heat about 2 inches of oil to 375 degrees in a deep-fryer. Put the flour in one shallow dish and season with salt and pepper. Put the milk in another shallow dish and the breadcrumbs in a third.
Dust the stuffed squid with seasoned flour, shaking off excess. Dip them in the milk, allowing excess to drip off, then thoroughly coat them with breadcrumbs.
Shake off excess breadcrumbs and add the squid to the hot oil, 3 to 4 at a time. Fry until golden brown, 1 to 2 minutes. Do not overcook the squid or it will be tough. Drain the squid on paper towels and serve immediately.