I went to the doctors last week and he told me my urine sample came back without oxycodone in it I have been on it for 4 months is this possible

It is not only possible, it occurs frequently. The leading cause for this error is that the wrong test was ordered. Oxycodone requires a specific test and will not be detected on a standard opiate screen.

This error has been the subject of numerous articles in the medical journals warning that Oxycodone is “Often not detected in urine” tests(1). A recent article in Pain Physician, March/Apr 2011. Also notes that certain urine tests “result in false-negatives by mising... oxycodone” (p. 130) and concludes that “a diagnosis of drug abuse should never be made based on the results of urine toxicology alone.”

Ref:
Journal of Family Practice, November 2010 · Vol. 59, No. 11: 628-633 (http://www.jfponline.com/pages.asp?id=9073)

Pain Physician 2011; 14:123-143 (http://www.painphysicianjournal.com/2011/march/2011;14;123-143.pdf)