Welcome to the forum.
InfoPath does not support connection directly to anythng but Access and SQL as you have found.
However, it is really designed to use web services which are more agnostic. The newest versions of Oracle have web services integrated to their data and views.
There are also some other methods such as using code or setting up a SQL reporting server. With a SQL reporting server you can replicate data from Oracle and then build your forms off of this, as well as use SQL 2005's web reports or Excel to analyze.
If you would like to discuss specific options you can send me an email.