Your right, an Oldham coupling definetly wont work. Most couplings will be able to take out some axial play but not any along tha axis. You could disconnect the stepper and see if there is any play in the shaft to see how its holding up. Looking at the photo its hard to see what you will be able to modify to add a bearing block to support the shaft. what you might have to do is make a bearing block to fit on the motor side of the vertical support and then an extension shaft to be able to refit the motor and coupling. Saying that you could save a bit of space by making the through hole for the ballscrew larger and recess the bearing block in it.