Of course there's nothing in Oblivion or the other text that supports this, but with a tiny amount of imagination I can pretend it occured. It would be very difficult for Beth to make a game in which nothing of the previous game was certain to occur. Canonically, the Blight was ended and there was some figure known as the Nerevarine, the Tribunal have vanished, Helseth wasn't killed by the player (and nor was the entire non-respawning population destroyed by a werewolf...), etc etc. If you don't want such things this way, mod the game, or just pretend.
I'd rather have the vague references and rumors than a Dragon Break at the end of every game...