You should definitely inform your doctor that you're taking oxycodone. Its a narcotic type medication that can harm an unborn baby and can pass from the mothers breast milk into the baby. This doesn't necessarily mean it shouldn't be used; it means you should use it only under the supervision of your obstetrician or the physician who is charting your pregnancy.
http://www.drugs.com/cdi/oxycodone.html
It was difficult to find specific information on which pain drugs can be safely used during pregnancy. This is definitely a question for your doctor.
You might want to try alternative methods of pain managment as well including relaxation exercises, meditation, massage, etc. They can be quite helpful in reducing levels of pain medication needed.
Good luck!