I'm an American native English speaker and I've never heard this. It's not a common phrase, as far as I know. But after thinking about it, I believe they mean that her being an orphan was caused by the opioid addiction of her parents (one of the common drugs was oxy . . . something or other).

Dan is correct. Oxycontin is a very powerful opioid drug and many people have died from an oxycontin overdose. So "she was an oxy orphan" means her parents died from an overdose of Oxycontin.