Oblong and oval are rough descriptive terms you would use in everyday life or when talking about art forms, or describing (parts of) or organisms or other natural objects. Rectangle and ellipse are strict geometric terms. A rectangle doesn't have to be oblong: a square is also a rectangle. Likewise, a circle is an ellipse, although it is not oval.
Moreover, "oblong" means elongated, and can describe any form that has a clearly greater extent in one dimension than the other(s); not only a rectangle. Cucumbers are oblong, and so are Norway, Sumatra, and Giewont; none of them is rectangular. "Oval", from Latin "ovum" = "egg", literally means egg-shaped, and eggs are not strictly elliptical; they have one end more pointed than the other.
Hope this helps.