Heat oil in large saucepan over medium heat.
Add onion, sugar, pepper flakes, oregano, and salt and cook, stirring frequently, until onions are softened, about 10 minutes.
Add garlic and anchovies and cook until fragrant, about 2 minutes.
Stir in tomato paste, diced tomatoes, crushed tomatoes, and Pecorino and bring to simmer.
Reduce heat to medium-low and simmer until slightly thickened, about 20 minutes.