Pristine, undoped graphene has a constant absorption of 2.3 % across the visible to near-infrared (VIS-NIR) region of the electromagnetic spectrum. Under certain conditions, such as nanostructuring and intense gating, graphene can interact more robustly with VIS-NIR light and exhibit a large nonlinear optical response. Here, we explore the optical properties of graphene/LaAlO$_3$/SrTiO$_3$ nanostructures, where nanojunctions formed at the LaAlO$_3$/SrTiO$_3$ interface enable large (~10$^8$ V/m) electric fields to be applied to graphene over a scale of ~10 nm. Upon illumination with ultrafast VIS-NIR light, graphene/LaAlO$_3$/SrTiO$_3$ nanostructures produce broadband THz emission as well as a sum-frequency generated (SFG) response. Strong spectrally sharp, gate-tunable extinction features (>99.99%) are observed in both the VIS-NIR and SFG regions alongside significant intensification of the nonlinear response. The observed gate-tunable strong graphene-light interaction and nonlinear optical response are of fundamental interest and open the way for future exploitation in graphene-based optical devices.