The check engine light usually is for emissions problems, not low oil. There's a separate low oil or low oil pressure dash warning light, right? that's what would usually light up if the oil was low. Is that warning light working? It should turn on w/the key in "on" but the engine not started. Then turn off once the engine starts. I realize you can't check if it turns off now, but you should be able to check if it turns on ok.
If the oil didn't leak out onto the ground, either while driving or parked, it must have gone into the cooling system or got burned in the cylinders and out the exhaust as smoke. There's not any other route out of the engine, at least that I can think of. Since you didn't report any smoke out the exhaust, the cylinder theory seems unlikely. Check to see if there's signs of oil in the cooling system I guess. The oil will float on top of the coolant, so it's vusually easy enough to spot it in the radiator or on the underside of the radiator cap. Drawing off a coolant sample from the radiator into a test tube and seeing if it settles out as two separate layers, oil above the coolant, another idea.
And I expect you already know that the oil change might be a coincidence, this would have happened even if there was no recent oil change.