A theory is presented to interpret the phonon drag magneto-thermopower oscillations observed in a periodically modulated two-dimensional electron gas. The thermoelectric and phonon drag tensors are obtained by solving a Boltzmann equation driven by an anisotropic electron-phonon scattering rate reflecting the twofold symmetry of the Fermi surface. It is shown that commensurability oscillations in the phonon drag and the Nernst-Ettingshausen coefficients arise exclusively because of finite angle scattering events. The calculated oscillations are found to be in phase with the magnetoresistance and their magnitude is proportional to the electron-phonon anisotropy.