[Group 1]

1. Oh, no!
2. Oh, boy!
3. Oh, my!
4. Oh, dear!

[Group 2]
5. Oh no!
6. Oh boy!
7. Oh my!
8. Oh dear!

[Group 3]
9. Oh, no.
10. Oh, boy.
11. Oh, my.
12. Oh, dear.
===========================
Can we use all the expressions? What is the difference between Group 1 and Group 2 because of the 'comma'?

The primary difference is punctuation.

Group 1 is correct; the others are not.