Well...I was on a similiar combination...Paxil and Vicodin...and I never had any adverse reactions or problems. I'm only one person though. Body chemistry differs from person to person so I wouldn't judge your situation simply because I was unaffected by the combination.
The only possible problem that the two COULD cause is the potential for seizures. Those two, chemically, work on different parts of the brain. One attaches itself to mu opiod receptors in the brain (Oxycodone) and the other helps stablize Serotonin levels sent and received between brain cells (Paroxetine). *NOTE: actual affects of Paxil within the brain is only a belief. Action is not widely known or understood as of yet.*
I think you should be okay. The doctor prescribed both of them for you. I'd HOPE he knows of possible drug interactions and weighed the risks against the benefits before prescribing them in combination.