Does an Oedipus the King manga actually exist?
I don't know if you're asking this question without the knowledge that Oedipus is originally  from a Greek mythology or not. He is a tragic hero and a king in Thebes and his name translates to the Ancient Greek "Swollen Foot". Here's the wiki for that.

To answer your question: No, I don't think a manga version of Oedipus the King exists. Although there may be an English comic about it somewhere. The reference in Zankyou no Terror was most likely for plot rather than an actual cameo.

As a disclaimer, I haven't finished it either and stopped at episode 9 or 10. Also, this is my first shot an answering a question here @stack-sites, I hope I did good :)