There are actually formulations of oxycodone and naloxone in capsule form, one of them being Targniact. They claim that the naloxone is in it to help with side effects caused by oxycodone, mainly with nausea and abdominal pain, because naloxone binds to opioid receptors in your gut. But I belive that they incorporated it in the capsule to make it non-abusable, as is the case with embeda (morphine sulfate/naltrexone).
Inside the capsule contains beads of oxycodone and beads of naloxone, which are indiscernible from one another, so if the powder was crushed as in preparation for IV'ing or insufflation, the naloxone would be activated and cause the oxycodone to not bind to the receptors, since naloxone has a higher affinity for the mu-opioid receptors than oxycodone. When taken orally, naloxone has a very low BA and will not have any effect at that dose, thus allowing the oxycodone to work properly. I hope this explains it thoroughly.
TL;DR: Just take the cap orally and it will work just fine.