Rather than trying to perform the difficult task of cutting small ovals, you can use the heat of the kiln to do some of the work for you.
Cut a rectangle the length and width of the oval you want. Then groze the corners to the approximate curve of oval you want. Do not worry about the little inaccuracies of the curve. If it is the curve you want, the heat of a full fuse will even out the edges into oval you want. Clean the glass, assemble and fire to your normal full fuse temperature. The result will be a smooth edged oval of the shape you grozed from the glass. Of course anything less than a full flat fuse will produce a piece with some of the inaccuracies that you grozed into the glass.
If you do not go to a full fuse, or are using only 3mm thickness of glass, this will not work.