We consider a chain of anharmonic oscillators immersed in a heat bath with a temperature gradient and a time varying tension applied to one end of the chain while the other side is fixed to a point. We prove that under diffusive space-time rescaling the volume strain distribution of the chain evolves following a non-linear diffusive equation. The stationary states of the dynamics are of non-equilibrium and have a positive entropy production, so the classical relative entropy methods cannot be used. We develop new estimates based on entropic hypocoercivity, that allows to control the distribution of the positions configurations of the chain. The macroscopic limit can be used to model isothermal thermodynamic transformations between non-equilibrium stationary states.