What sort of "locked" do you mean? There are 4 meanings of that word for Android phones:
* SIM-locked, i.e. locked to a service provider. That's irrelevant to this question.
* Bootloader-locked, which you've already told us it is (this is what OEM locking means). Whether that's an obstacle depends on the phone.
* Screen-locked, i.e. a lockscreen password or PIN has been set. That will prevent you enabling ADB, but anyone with legitimate access to the phone should just be able to unlock it.
* FRP-locked, i.e. the factory reset protection system is active following a reset and you need to enter the previous Google login credentials to access the device. Again, anyone with legitimate access to the phone should be able to unlock it.
Frankly it probably doesn't matter which you mean, since the answer to "is it possible to recover data" is usually "no" anyway. But knowing what data you mean, how they were lost, and what sort of "locked" you are dealing with, will allow a more definite answer to be given.