Here are all the things you can draw: http://www.highcharts.com/ref/#renderer
As you can see, the ellipse or oval is not listed as one of the shapes. And the arc function supports only a constant radius. That leaves the path function. You could specify elliptical arcs in SVG (See http://www.w3.org/TR/SVG/paths.html#PathDataEllipticalArcCommands
). But as the Highcharts documentation states, the path function's VML support is less flexible. The closest thing to what you want is 'curveTo', which draws a Bezier curve rather than an elliptical one (See http://www.w3.org/TR/NOTE-VML#_Toc416858391
). There are techniques for approximating ellipses with Bezier curves.
Another thing you could try is to plot generated data. You could generate data with the mathematical function of your ellipse, and plot it on two spline series. That might look okay.