The cable should be well outside of the heated area, and thus will (should!) not be affected by the high temperatures within. The hottest I've ever had a thermocouple is around 700C (in an engine exhaust stream), and it coped with that just fine - rated to 1250C, but until I pick up a certain forge, I've got nothing that'll reach those sort of temperatures to test with...
With an oven, I suspect the trick would be to drill a "tight fit" hole so the end of the probe sticks into the oven through any refractory, well away from the elements; the heat loss through the probe should be fairly minimal.