Melt butter in a large frying pan on medium heat. Add onions and cook, stirring occasionally, until soft (about 5 minutes). Add vinegar, sugar and 2 tablespoons thyme leaves. Cook for a further 10 minutes, until golden and caramelised. Season to taste with salt and pepper. Set aside to cool for 5 minutes.
Preheat oven to 220 ºC conventional or 200ºC fan-forced. Line a large oven tray with baking paper.
Combine scone mix, cheddar and remaining tablespoon thyme leaves in a large mixing bowl. Add water and mix together with a wooden spoon to form a soft, stick dough. Fold in caramelised onions and feta.
Roll mixture out onto a floured surface to approximately 2cm thick. Cut into 12 rounds or squares. Place scones on prepared tray and allow to rest for 10 minutes before baking.
Brush tops with a little milk or egg wash (if using) for a more golden colour. Bake for 15 minutes, until golden brown and cooked through. Turn out onto a wire rack to cool. Serve warm or cold, with butter.
leftover scones keep well at room temperature for up to 2 days