No Jon - not many people would know that 'gullible' wasn't in the Oxford dictionary - only 'gullibility' and 'to gull' in mine. Wonder if it would be allowed on Countdown.
This idea that it isn't in the dictionary comes from a play on the meaning of the word, which is when you easily believe something. Basically, when someone tells you that gullible isn't in the dictionary, you easily believe them and go check, showing that you're gullible.