Here is a workaround:
"Add an oauth challenge template at oauth/challenge.html
For some reason, this template does not come with django-piston. When an unauthenticated request is made to an API protected by OAuth, the contents of this template will be returned. In theory, the template should describe what OAuth is and how a client programmer can get access to the API using OAuth. In practice it doesn’t really matter what you put there, you just have to have the file to avoid TemplateNotFound exceptions."
For more details see http://blog.carduner.net/2010/01/26/django-piston-and-oauth/