It seems that the current distribution of mediawiki 1.35.1 is not coming with all the required dependencies for OATHAuth (e.g. the jakobo/hotp..... library) so I had to run the suggested composer command line and everything is working now (even though I did not install OATHAuth from github). So something needs to be fixed: either the plugin installation instructions or the distribution of mediawiki...
Topic on Extension talk:OATHAuth
This is indeed strange. It should be there I believe. Probably a good idea to also report this on Phabricator.