I do not think so. A oxymoron can be pleonastic, too. The interesting thing I find about both terms is that some take them as negative phenomena. In rhetoric, there is nothing inherently wrong with oxymora or pleonasmata. They are just rhetorical devices like synecdoche or zeugma.
oxymoron is one of my favourite words purely because it does, quite literally do what is says on the tin... OXY - sharp, keen, acid and MORON - foolish or stupid (person) so therefore oxymoron is indeed an oxymoron