Filtration system for smoke from oil lamp
My suggestion is to replace the oil lamp with something electrical that uses LED illumination instead. The reasoning for this suggestion is:


A filtration system for the soot will almost for sure require some type of forced air movement to push the emissions from the oil flame through the filtration system. Most types of passive filter will likely snuff out the flame. A forced air movement would require a fan of some sort that would itself consume more electrical energy than the suggested LED lamp. It would be quieter too.
There are soot collection methods used for some types of oil lamps such as is typical for kerosene lamps. To get something like this to work you would most likely need to replace the current oil lamp with one that comes with a fitting for the lamp chimney and that would require cleaning from time to time.
A replacement lamp that generates less soot would be a pressurized type system such as a mantle type lantern that vaporizes the fuel and allows for more complete burning. These are more complicated to use and can be noisy during use and require frequent pumping. 
There is a safety concern when using something with a burning flame in a situation where you may fall asleep. Accidents can happen and the results could be devastating.