Add the feta and egg to the cooled vegetables. Mix to combine.
Taking 2 sheets of filo at a time, brush both sheets with olive oil.
Cut sheets into 4, lengthwise. Place a spoonful of filling at one end and fold the corner over diagonally. Continue folding until you reach the end of the filo maintaining the triangle shape. Repeat with the remaining filo and lentil filling.
Bake for 15-20 minutes or until triangles are crispy and golden.