An Oreo is already beyond just being a cookie. It's like two cookies plus cream. How much more do you really need to mix with two cookies and some cream? The answer is everything. Oreo feels like the fair game cookie. Oreos are down for anything, like that one person in college who would drink one beer and start yelling "I'm experimenting tonight!" I think because we don't have all the extra baggage about making Oreos ourselves the way we do with chocolate chip, it makes them way easier to desecrate with something like pickles.
For me, sometimes pickles are tough to get down just by themselves. If you get a bad brine, then the whole pickle balance is off. You'll especially want some tasty brine if you're going to dip your Oreo in the pickle juice. Yum!