There are several options. First, though, we must understand your requirements.
Are you trying to specify the feature as a piece of data for an existing issue type (i.e. Story)?
Can an issue have more than one value for "feature"?
Do you need to control the values that can be selected? If so, do you want to limit control of that list to Jira Administrators or to Project Administrators?
Do you have any other requirements around this "features" concept?