A paradox describes a state of affairs that seemingly defies any possible rational explanation in terms what is currently known.
An "oxymoron" is a phrase, usually just two words, that is seemingly self-contradictory. Examples: "devout atheist", "honest politician".
An oxymoron makes no assertion. It does not confuse you.
To describe a paradox requires at least a sentence, and possibly an entire essay. It must contain a genuinely perplexing idea.