It doesn’t appear that the content of Oneboxes is run through the watched words filter.
On our forum, we’ve had a number of people link to the following comic, for which the comic itself is innocuous, but the alt text has a swear word. The onebox picks up the alt text and displays it, however it isn’t flagged by the watched words feature. It would seem like the watched words filter should also check any text from the one box.