No. An oxymoron is a literary term for something that inherently contradicts itself, often in a humorous way, but the phrase would be made up of normal adjectives and nouns.
Some fun bee puns are:
O-bee Wan Kenobee
Beauty is in the eye of the Bee-holder
Bee-ware the ides of March
To bee or not to bee
An oxymoron is a contradictory figure of speech. A scream can not be silent, as the word itself describes a sound.
You can't always depend on getting milk from a cow when you want. They have to be in the right "moo'd."
2bee or not 2bee
A good pun with the word jump is "Those who jump off a Paris bridge are in Seine"
The pun with the word pillow is "Corduroy pillows are making headlines"
An oxymoron is a literary device where two words that have opposite means are adjacent and used to emphasize a message, mood, or tone. An author uses an oxymoron to show contrast.
The answer to this riddle is "a staircase". Of course the staircase does not actually move up and down, but when you refer to a staircase directionally, you are either going "up the stairs" or "down the stairs". Its function in and of itself is to "go" up and down.
Q: What is a bee's favorite flower? A: Bee-gonias! is an example of a be pun.
I know of egg-xactly one.