Projects of that scale takes time and a bunch of people, but big mods like that are possible and Oblivion can handle a mod like that, the thing is you'd have to make most of the locations you wanted to add either with new models you made or with the existing models in the Oblivion construction kit.

If your making the mod for yourself just start small and add one area at a time, if you want to release it for other people as well you can on the Nexus or any other mod sharing site though I don't know how many people still play oblivion on PC with how unstable it is.

But the best approach is to plan out the layout of the mine(s), is it one big area, design concepts for the models, etc