I would think many thermostats will accomplish what you want. Essentially you want to provide both heating and cooling using the heat pump except when outside temperature goes below a set temperature at which time you want heat provided by the oil burner as "Emergency Heat" or "Auxiliary Heat."

I would note that depending on local weather and also oil cost vs cost of electricity, that 40 degrees you cite may be better set at a lower (or higher) temperature for most economical or even most comfortable operation!

@Stax - But only one one if the three oil zone thermostats would be connected to the heat pump. What about the other two?

I think the easiest way to do what you want, is to keep the heat pump thermostat separate as it is today, but replace it with one that has an external temperature sensor. It would then be wired so that the oil burner will not fire if the temperature is above 40 degrees. Below 40 degree the oil burner is allowed to operate and will turn on whenever any of the zones call for heat.

You will have to experiment as to what is a good outdoor temperature switch over to back up heating. The heat pump should be sized for cooling and your house may have a high heat loss. The 40 degree setting is a good place to start. You should learn how to change it once the installation is completed.

Wish I had thought of that. Oh, wait. lol

If any one (or more) of the boiler thermostats called for heat, the boiler would respond.