I recently successfully configured a Mendix app with OneLogin using SAML. You should be able to follow the SAML module documentation to configure, but there are 2 main things that are important to set specifically to the way OneLogin's SAML messages look. Both of these settings are options as you configure the identity provider settings in your app:
If you get stuck somewhere in the setup or with a specific error message, please share it here and we can help further.
When you configuring the SSO you need to add request handlers to your app. Goto the deploy tab network and add them there
From the error it seems that your SAML message is not correct. I always use SAML tracer in Firefox to debug SAML messages. Are you sure the the IDP metadata is set on both sides? Because your end could be ok but if the other side is not set up correctly. You should inspect the xml message you send versus the xml message you get back.