I'm on oxycodone and have lupus and fibromyalgia, but am still in pain, what can I do?

Pain Syndrome. With a case as complex as yours, you need a team approach to your therapies. You need a doctor well versed in the treatments of fibromyalgia to help with that disorder. You need a rheumatologist to deal with the lupus. And you need a chronic pain specialists to help with your narcotic pain treatment. These 3 doctors should work together.
Taper. Oxycodone is a poor choice for fibromyalgia. Most patients feel better for a week or two, however over the long term opioids tend to decrease functional ability and increase fibro pain. Consider trialing some non-opioid medications and let your rheum control lupus symptoms.