The Morrocco Method website is somewhat misleading in regards to henna because it refers to "henna" when it actually means cassia ("neutral henna") or a mix of henna/indigo. It won't hurt to try oiling, and it's possible it could work, but many people use oil on hennaed hair regularly with no change in color. I also suspect that what you used wasn't pure henna, because henna is usually very permanent. It does fade on a few people, but that's not typical, and a bag of BAQ henna certainly wouldn't make that claim. It would be a good idea to do some research online to see if you can find out what exactly was in your henna because that may affect what you need to do to try to lighten it. Removal may be difficult. If it was pure BAQ henna, you can dye over it, but if it wasn't you need to be careful. If there was any indigo in it, don't bleach! Bleach over indigo will turn hair green.
Here's a couple of threads that may help you: Successful henna removal. Yes, you are reading this correctly.
for the desperate: henndigo & chemical dye removal tip!
You can also try searching for information here on NC. Good luck!
ETA: Just adding this as a warning to anyone reading this thread who's considering henna and isn't sure. It should be considered VERY permanent, as in you have to grow it out permanent. If it's BAQ you can dye over it, but sometimes you will still get red shine in the sun. I have henna on my ends that's over three years old and still bright copper on my grays. If you're not sure you want the color, use something else instead. And strand testing first is always a good idea!
Former longhair, now CG, living in N. California where the fog meets the wind
3a/b, fine, normal porosity/elasticity, high density
Conditioner wash and style. That's it!