Which themes work with the Oxygen Builder?

None.

Oxygen is a theme-less page builder. Once activated, it nulls any theme in use:

• The theme's style and a scripts are not loaded automatically.
• The theme's functions, hooks, and filters are no longer accessible or executable.

But it doesn't meant that you can't have access to pre-built designs.

Oxygen has what we call Design Sets. It's pre-built designs organized as full pages or sets of elements that can be loaded from within the builder (under Library > Design Sets.)

Oxygen's design sets library is growing steadily by the Oxygen team and others:

• Elijah Mills Design Sets (included on Oxygen).
• Dezign 4 Fun (Paid).
• Oxy Elements (Paid).
• OxySet (Paid).
• Accelerate by Ukuwi (Paid).