One option would be to use the fit library; to use an ellipse you will also need the shapes library:
\documentclass[11pt]{article}
\usepackage{tikz}
\usetikzlibrary{positioning,arrows,fit}
\usetikzlibrary{decorations.pathmorphing}
\usetikzlibrary{decorations.markings}
\begin{document}
\tikzset{
particle/.style={thick,draw=blue, postaction={decorate},
decoration={markings,mark=at position .5 with {\arrow[blue]{triangle 45}}}},
gluon/.style={decorate, draw=black,
decoration={coil,aspect=0}}
}
\begin{tikzpicture}[node distance=1cm and 1.5cm]
\coordinate[label={[xshift=-3pt]left:$e^{-}$}] (e1);
\coordinate[below right=of e1] (aux1);
\coordinate[above right=of aux1,label={[xshift=6pt]right:$e^{-}$}] (e2);
\coordinate[below=1.25cm of aux1] (aux2);
\coordinate[below left=of aux2,label={[xshift=-6pt]left:$e^{-}$}] (e3);
\coordinate[below right=of aux2,label={[xshift=3pt]right:$e^{-}$}] (e4);
\draw[particle] (e1) -- (aux1);
\draw[particle] (aux1) -- (e2);
\draw[particle] (e3) -- (aux2);
\draw[particle] (aux2) -- (e4);
\draw[gluon] (aux1) -- node[label=right:$\gamma$] {} (aux2);
\node[draw,line width=3pt,circle,fit=(e1) (e4),inner sep=.5\pgflinewidth] {};
\end{tikzpicture}
\end{document}

Instead of ultra thick, you could use thick, or line width=<length> for finer control:
\node[draw,line width=3pt,circle,fit=(e1) (e4),inner sep=0pt] {};
A new request has been made in a comment:
... to "factorize" the internal gluon. In other words, I want to split
the gluon line inside into two straight lines both touching the circle
at the same point (could be in either left or right but something that
looks nice).
In this case, the intersections library can be used to locate the point of intersection between the circle and a horizontal diameter and then use this new point to draw the additional lines:
\documentclass[11pt]{article}
\usepackage{tikz}
\usetikzlibrary{calc,positioning,arrows,fit,intersections,decorations.pathmorphing,decorations.markings}
\begin{document}
\tikzset{
particle/.style={thick,draw=blue, postaction={decorate},
decoration={markings,mark=at position .5 with {\arrow[blue]{triangle 45}}}},
gluon/.style={decorate, draw=black,
decoration={coil,aspect=0}}
}
\begin{tikzpicture}[node distance=1cm and 1.5cm]
\coordinate[label={[xshift=-3pt]left:$e^{-}$}] (e1);
\coordinate[below right=of e1] (aux1);
\coordinate[above right=of aux1,label={[xshift=6pt]right:$e^{-}$}] (e2);
\coordinate[below=1.25cm of aux1] (aux2);
\coordinate[below left=of aux2,label={[xshift=-6pt]left:$e^{-}$}] (e3);
\coordinate[below right=of aux2,label={[xshift=3pt]right:$e^{-}$}] (e4);
\draw[particle] (e1) -- (aux1);
\draw[particle] (aux1) -- (e2);
\draw[particle] (e3) -- (aux2);
\draw[particle] (aux2) -- (e4);
\draw[gluon] (aux1) -- node[label=right:$\gamma$] {} (aux2);
\node[draw,name path=circle,line width=3pt,circle,fit=(e1) (e4),inner sep=.5\pgflinewidth] {};
\path[name path=diameter] let \p1=(aux1), \p2=(aux2)
in (aux1|-0,0.5*\y2+0.5*\y1) -- ++(-3cm,0);% horizontal line from the center to the left
\path[name intersections={of=circle and diameter, by={aux3}}];% find the intersection
\draw[particle] (aux2) -- (aux3);
\draw[particle] (aux3) -- (aux1);
\node[label={[xshift=3pt]left:$m$}] at (aux3) {};
\end{tikzpicture}
\end{document}

inner sepvalue, it's better to use.5\pgflinewidthso you don't have to guess the right value. Also, please remember to up-vote good answers and to accept the ones you consider best solved your problem (two different actions); in case of doubt, please see How do you accept an answer?. – Gonzalo Medina Mar 30 '13 at 20:36