Results comparing BQP and NEXP
The oracle you ask for has $P=NP\ne BQP=NEXP$, and therefore it has $BQP\ne PH$. Finding any oracle relative to which $BQP\ne PH$ was an open problem for twenty years until Raz and Tal [1] found such an oracle last year. In summary, the oracle you ask for currently is not known to exist, but people are looking. There are oracles relative to which $P\ne BPP=PH=BQP=NEXP$, but these lack your constraint $P=NP$. [3]*

(The second oracle you ask for exists, namely take $O=PSPACE$, then $P=NP=BQP=PSPACE\ne NEXP$).

There is currently no quantum PCP Theorem, though again, people are looking. Aharonov et al. [2] provide a readable introduction to the Quantum PCP Conjecture. In this context, as in the classical PCP, there are two equivalent versions, one talking about verifying a quantum proof, the other talking about hardness-of-approximation. One major step that has been accomplished is that we know that the two versions are equivalent, that is, they imply each other. Many other questions remain open.

[1] Raz, Ran, and Avishay Tal. "Oracle Separation of BQP and PH." Proceedings of the 51st Annual ACM SIGACT Symposium on Theory of Computing. ACM, 2019.

[2] Aharonov, Dorit, Itai Arad, and Thomas Vidick. "Guest column: the quantum PCP conjecture." Acm sigact news 44.2 (2013): 47-79.

[3] Williams, Ryan. "Towards NEXP versus BPP?." International Computer Science Symposium in Russia. Springer, Berlin, Heidelberg, 2013. (Section 4, Conclusion)

[4] Kitaev, Alexei Yu, et al. Classical and quantum computation. No. 47. American Mathematical Soc., 2002.

(*) (Actually I cannot find a reference for such an oracle, but [3] mentions such an oracle)