The usual approach I’ve seen in synths is to take a voltage controlled triangle wave oscillator and shape it somehow by putting it through some transistor or diode network. These are not real sine waves, but decent approximations. There’s an example here on the forum.
Even a filtered triangle can look somewhat like a sine.
You can probably do something with a Wien bridge, but I think getting decent V/Oct voltage control is not quite as simple.
Cheers,