A good way to start by thinking of a thesis statement that will allow you to compare two works like these is to compare and contrast their themes. I have included two links below to the themes section on both of these texts on the enotes website. You might want to take a look at these and see if there is a theme that particularly grabs your attention.
If I were you, I would suggest thinking about the response of the protagonists of both of these works to their predicament and how this impacts their religious beliefs. This is clearly an issue in both works, as Elie finds his experience of being in a concentration camp calls him to question the existence of God at all, and Oedipus is forced to concede the truth of the oracles who have made prophecies concerning him, even when the truth is something that is so terrible to accept.
A thesis statement that you could use for this might be:
In both Night and Oedipus Rex, the protagonists are forced to change their ideas and beliefs about religion based upon their experiences.
This would allow you to discuss how Oedipus and Elie change in response to what happens to them.