Umair, oEmbed is a library. You can find more information about it at:
http://www.oembed.com/
Let's assume that you are regular site user - thus "consumer".
And "Youtube" is provider.
When consumer adds a link to youtube video on your site, our script uses oembed library to fetch the preview. Our script can't build a preview if provider doesn't "give" us certain response and endpoint.
So it is up to provider to pass certain response/piece of code when their content is being used in the web.
If you have a provider, who is not listed in providers.php file, we recommend contacting the provider directly and asking whether they support oembed and if yes, what you need to use to add them into your own list.
Most of the large companies do have documentations. Ex:
https://instagram.com/developer/embedding/ ( "Embedding for developers" section)
So try browsing though the web to find out whether content provider you are interested in has similar docs or not.