As your ticket is routed "LNER & Connections", I take it you have an Advance?
If so, you may only use the booked trains. In all likelihood, you'd presumably be reserved on an Oxford/Worcester etc. semifast service out of Paddington - in which case, you have to take that train.
The rules also say that you are also not supposed to break your journey on an Advance - i.e. you can't begin your journey after the origin station shown on the ticket, or finish it before the destination. However, in practice, if you simply get off your booked Oxford service intermediately and change (without exiting the barriers), then nobody will be the wiser.
Fortunately, most Oxford-bound services (other than during the M-F peaks) do now stop at Didcot, so you could get off there and change. Otherwise you could get off at Reading and change.
Fares from Didcot westwards are generally quite affordable.