You can abandon an oasis that you no longer wish to own from your Hero's Mansion. At the Hero's Mansion in the village that owns the oasis you will see a table showing oases that you have conquered from this village. To abandon an oasis that you own simply click on the little red X next to the oasis type in that table.

Once you have chosen to abandon the oasis it takes six hours for the abandoning to complete, and you will see that a new table has appeared under the title "Abandon oasis" at your Hero's Mansion. During this time you can cancel the abandoning of your oasis by clicking on either the red X next to the oasis in the new table or the same red X in the first table.