Yes you can do this - as long as the train stops at the intermediate station there is no need to physically get on/off the train. You can buy tickets between any combinations of stations from any station, so you can buy the tickets at London station before leaving.
I've personally done this loads of times, but the relevant section in the conditions of travel is:
14.1. Unless shown below, you may use a combination of two or more Tickets to make a journey provided that the train services you use
call at the station(s) where you change from one Ticket to another.
However, there may be a cheaper & better option. You could instead an overdistance excess fare, this "changes" your existing ticket. Information on these can be found here (assuming you are at a ticket office before traveling)
a customer travelling beyond the destination of the ticket will be required to pay an Excess fare for the difference in price between the ticket held and the appropriate Single or Return fare, available for immediate travel, for the complete journey from the originating station to the final destination
And for the price:
the difference between the fare paid and the appropriate Return fare for the throughout journey. If cheaper, charge the appropriate Single fare for the extra journey.
Excess fares can only be obtained from staffed ticket office, you cannot purchase them online or from ticket machines. My personal experiences is that you may need a certain level of assertiveness/trial and error to purchase excess fare tickets as they are not commonly issued. You are likely to face an additional problems if your existing ticket is anything but an orange slip of card. Excess fares can be optioned for any ticket type in theory but it posses additional problems as e/m tickets do not have a ticket number - staff usually enter 12345 in my experience but others are unwilling to do so. Note that an excess fare ticket comes as an additional slip of paper, make sure you keep both at all times as it is only valid with the original ticket. In my experience excess fare tickets do not work any ticket barriers, you will likely need to find a member of staff to let you out/in at Oxford. Although your original ticket will work the barriers fine in London. While it will be harder to obtain an excess fare it does mean that your train no longer needs to stop at Oxford Parkway, so you will additionally be able to use the faster GWR trains.