Lost my copy of oblivion a long time ago when I moved from another country. Oblivion GOTY Deluxe edition is now on sale at steam for 6.5 USD.
My question is :
Is there any way to turn the steam version into the retail version ?
Maybe by replacing the binary exe file or something ? I simply want to play Oblivion without having to run Steam or have mods compatibility problems.

There are no compatibility issues with the steam version. All mods that work with the retail version will work with the steam version, even mods which require Oblivion Script Extender (there is a special OBSE exe for the steam version.)

You can launch the steam version of Oblivion through Oblivion Mod Manager, which bypasses the steam app altogether, but I'm pretty sure you still have to have steam running in the background.