Preheat the oven to 400°F (200°C). Place the block of feta cheese in the center of an oven-safe baking dish. Surround it with cherry tomatoes, diced onion, and minced garlic.
Drizzle olive oil over the feta and vegetables, and sprinkle with oregano, thyme, salt, and pepper. Toss the tomatoes slightly to coat them in oil and seasoning.
Bake in the preheated oven for 25 minutes, until the feta is golden and the tomatoes are blistered and juicy.
While the feta and vegetables are baking, heat the broth in a large pot over medium heat.
Once baked, transfer the feta and tomatoes mixture into the pot with the broth. Add coconut milk and stir to combine.
Using a blender or immersion blender, blend the soup until smooth and creamy. If necessary, return it to the heat and adjust the seasoning with salt and pepper as needed.
Serve the soup hot, garnished with fresh basil leaves.