The British National Corpus has 47 citations for on Oxford Street, and seven for in Oxford Street. That's about what I would have expected - nearly seven times as many on s as in s.
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MUSCOVITE The reality is more complicated?Yes. On the street is used in British English, too, to some extent and is the only choice for certain meanings: She is on the street again. (= She is a prostitute) This extract is from English Prepositional Idioms by Frederik T Wood and describes British usage: