First of all, oil is only used to produce a small portion of the power in the US. The vast majority of electricity in the US is made from coal.
Regardless. Let's assume we ARE using fuel oil to generate electricity. New power plant can reach 60% efficiency converting oil to electricity. Your average car, on the other hand, is about 15-20% efficient. Power line transmission is about 95%, a typcial battery charger is about 75-80% (could be higher, just costs more), batteries are about 75% energy efficient, and a good EV drivetrain is about 90%. Total EV efficiency oil to road is 25-30%. i.e. slightly better than internal cumbustion engine (ICE) powered cars.
EVs can also run powered by sunshine, wind and rain (solar, wind & hydro) something than no ICE can match.
Finally power plants tend to be way out away from cities, this moves the polution away from the areas that people are trying to breath. And it's much easier to control/reduce pollution at one fixed source, than thousands of small mobile sources.
Finally EVs can charge at night (and most will) which is when the power companies have a surplus of power so this will help them produce power more efficiently since they won't have to ramp up as much in the morning and slow down as much at night.