There's an option in the nVidia ctrl panel whereby you force AA on, over-riding any application setting. Note, it will be on all the time
You can then select HDR in the Oblivion options menu, but AA won't show there, even with it forced on, because Oblivion won't be controlling it.
It's very easy to test in game, what I've done is force weather to clear (so the suns out) and load a game outside, but choose on AA or HDR. Then force AA on via the control panel, lead game again and check/compare that AA is occuring. If it is, then close Ob and reload with HDR selected and check again!