Oncolytic virus (OV) therapy is a promising treatment for cancer due to the OV selective ability to infect and replicate inside cancer cells, thus killing them, without harming healthy cells. In this work, we present a new non-local multiscale moving boundary model for the spatio-temporal cancer-OV interactions. This model explores an important double feedback loop that links the macroscale dynamics of cancer-virus interactions and the micro-scale dynamics of proteolytic activity taking place at the tumour interface. The cancer cell-cell and cell-matrix interactions are assumed to be nonlocal, while the cell-virus interactions are assumed local. With the help of this model we investigate computationally various cancer treatment scenarios involving oncolytic viruses (i.e., the effect of injecting the OV inside the tumour, or outside it). Moreover, we investigate the effect of different cell-cell and cell-matrix interaction strengths on the success of OV spreading throughout the tumour, and the effect of constant or density-dependent virus diffusion coefficients on viral spread.