I need to configure a site to site VPN from Sophos firewall to Oracle OCI is their any documentation guide line available which can guide me regarding this.
Are you sure if both sides networks are allowed true VPN configuration and Firewall Rules?
It is actually a two-steps procedure. First you should allow them when you are creating VPN. Second, you need to add a firewall rule for specific traffic in LAN To VPN and VPN To LAN (it depends to direction of traffic in your case).
Fore example, If VPN clients wants to reach Web server in your DMZ, you should create a VPN To DMZ rule.
you can also add a screenshot of your VPN and Rule configuration here.
Yah! I created by directional rule in same policy for both LANs