Gandhi's statement strikes at the idea that killing and cruelty in the name of God is still killing and cruelty, immoral aims that would be denounced by any force of divinity. This helps to feed the notion that there is probably more killing in the name of God than love offered in the name of the divine or that there is enough religion to make individuals kill one another, but not enough to make them love or care for one another. One can trace the Crusades or missionaries killing in the name of their Lord as such examples. Warriors who did battle in the name of divine forces certainly would be guilty of the same thing. In the modern setting, one can see the misapplications of Christianity or Islam as but two of many such examples of oppression in the name of God. The idea of killing doctors who perform abortions as a way to appease a Christian conception of God is just as misapplied as those who believe that the way to Allah's paradise is through the murdering of innocents.
Religious leaders often say that they are acting in the name of God. They say that they know what God wants done here on Earth. However, this seems often to end up hurting innocent people. Gandhi is saying this is a terrible sin because it ends up hurting people in the name of God (when you would think all you would do in the name of God is help people).
As to an example, this is a delicate topic because any example would be saying that some religious belief is really bad because it oppresses people. I would say you can argue that the Catholic Church's view on contraception oppresses innocent people. It forces women to have more children than they want, simply because the Church says that's how God wants it.
I am not sure when Gandhi wrote or said the words attributed to him in the question. Or to which aspect of "oppression of the innocent" he was referring to.
However, it is quite true that people do sometime oppress the innocent for personal benefit, but justify their action by claiming it to actions taken as per will of the god. One of the most glaring example of oppression of the Innocent is provided by the inquisition in Europe. This practice led to major injustice like burning of Saint Joan at the stakes.
I believe what Gandhi must have meant was that to oppress the innocent is bad enough, but to justify it in the name of God makes it much worse. It compounds a social crime by making it a religious sin also.
The biggest example of oppression of the innocent in the name of god is provided by the action of many religious fanatics that kill innocent people in terrorist attacks.