The previous response was for CFDs, but did you mean futures?
FXCM's USOil CFD can be used as a proxy for futures.
Now, if you want futures, you can try the IB plugin and follow the symbol format for futures and expired futures:https://zorro-project.com/manual/en/ib.htm
Another option is to download CSV data from the exchanges and convert it with your own Zorro scripting. Or you can pay oP Group to do it for you.
I've also developed a solution for my paid clients: I have an ACSIL script in Sierra Chart which exports futures historical data to Zorro.