You won't necessarily pick up more oxygen, if you purge both the keg, carboy and filter with CO2. Purging will minimize the exposure to oxygen.
But you'd need 3 transfers:
- rack from the carboy to the keg (only the keg will handle pressure.)
- from the keg, through the filter, to the carboy.
- finally, rack from the carboy to the keg again.
With this many rackings, I'd be more concerned with contamination than any ingress of oxygen.
If you can ferment in the keg, then you could in principle save one racking and filter directly from the keg to the carboy, and then transfer back to the keg (after cleaning it.)
If you can filter without requiring CO2 pressure in the carboy, you can then filter directly from the carboy to the keg. For example, you may be able to use gravity feed to provide the necessary pressure, although you may need as much as 10-15 feet height difference to get 5-7 psi needed to get a slow flow through the filter.
Alternatively, wait with the filter until you get more kegs and for the time being use finings, such as gelatine, which have almost as good affect. Add these to the carboy a few days before racking and the beer will be substantially clearer.