Mix the olive oil, lime juice, salt, and cayenne pepper in a large serving bowl until the salt is dissolved.
Cut and cube the watermelon and add to the bowl and mix.
Slice the onion very thinly and add to the bowl.
Slice and quarter the cucumber and add to the bowl. Mix until everything is evenly coated.
Grind pepper to taste and mix.
Chop 1/2 cup cilantro and mix well.
Let the salad marinate for at least two hours. If there is too much liquid after letting it marinate, drain it out and reserve it on the side, and serve it as a dressing.
Add feta right before serving or serve the feta on the side and let people add however much they want to their own serving.