Preheat oven to 400°F. Rinse sweet potatoes and prick them a few times with a fork. Roast in a baking pan until tender, 45 to 60 minutes. Let cool for about 20 minutes.
In a medium skillet, warm oil over medium-low heat. Sauté onion until soft, about 5 minutes. Add kale; sauté until wilted, 1 to 2 minutes.
Slice sweet potatoes in half lengthwise, carefully hollow out with a spoon and place flesh in a large bowl. Add kale mixture, yogurt, Parmesan, thyme and salt; mix thoroughly.
Carefully spoon a quarter of filling into each potato skin. Top with feta and return to roasting pan. Bake until cheese is golden and sweet potatoes are thoroughly warmed, 15 to 20 minutes. Let cool for 5 minutes; serve.