I'm sure your Dr has been working with you for a while and knows you best. It would be impossible for anyone here to honestly recommend a medication because none of us are Drs and we might give you the name of something that works for one of us but that you are allergic to.
No two medicines work exactly the same for any two people.
The insurance thing is not that unusual. If you call them or perhaps go online to their site, they can generally tell you what they recommend you take instead of the oxy. It is pretty cut and dry with them and I have had a similar experience with meds (except mine was for human growth hormone). For me, they insisted that I try two other brands before using the one the Dr wanted me to use. I ended up being able to use the second one I tried and got it basically free for over a year (with a special card system they use). I could even use the card to pay for my insurance co-pay.
Good luck...please call the Dr ASAP if you are in serious pain or go to the ER...but remember that the ER is unlikely to prescribe anything like this since they don't want to get caught up treating chronic pain patients. They will help for immediate need, but you may get noted as a drug seeker.
I wish you the best!
TLIF L5-S1/failed, Pituatary disorder w/HGH deficiency, Fibro, Failed Bladder Surgery & Nissen, GERD, OCPD, GAD, MDD, CFS, TMJ, Migraines, HBP, Idiopatic Reactive Hypoglycemia w/Diabetic reaction to HGH, Bi-lateral CTS (surgery related trigger finger), Edema, Tarsal Tunnel Syndrome, Peripheral Neuropathy, Plantar Fascitis, Tibular Tendionitis, Adult Onset Flat Feet, Vision Issues & much more.....