hes from grouchland, usa per elmos world and is much more than it looks. Oscar is living in a garbage can that ...

"While appearing to be the size of a normal trash can on the outside, Oscar's trash can is much bigger on the inside, as revealed in The Adventures of Elmo in Grouchland. Oscar has said it holds a farm, swimming pool, ice rink, bowling alley, and piano. Other items include his pet worm Slimey, his pet elephant Fluffy, his shoes, a backdoor and a gate to Grouchland USA, his hometown. "

per wikipedia

confirmed hes either a time lord or a wizard...