The problem was in drivers.
It’s necessary to install instant client from Oracle and cx_Oracle driver.
Now I’ve faced with new error)
failed to retrieve users: ‘twophase’ is an invalid keyword argument for this function
I’ve found this: https://qiita.com/tkprof/items/7d7b2d00df9c5f16fffe
In requirements file for privacyIDEA SQLAlchemy==1.0.5 but this bug was fixed in 1.1.11 version.
So, can I update SQLAlchemy to 1.1.11 without problems?)
Problem is solved.
It is necessary install cx_Oracle 5.3
I have privacyIDEA server version 2.19.1. I see it is possible to update to 2.20.1 now. This version has “Allow creating oracle DB (#752)”, it’s very usefull note.