Dr Sarno says that when TMS patients have tried what you suggest and inhaled pure oxygen, there was no noticeable improvement. He says that it's the Autonomic Nervous System that really controls the amount of oxygen being delivered to your extremities. So unless you can consciously control your heart rate and blood pressure like a Yogi, taking pure oxygen doesn't really solve the problem, which has its roots in how emotions have effected the limbic region of your brain.
Good question though. I did notice this summer that when I suddenly went from sea level up to nearly 10,000 ft and tried to sleep that my TMS symptoms did increase. But after a few days at altitude, when I had acclimatized, my TMS symptoms seemed to return to the same level they were at down in the SF Bay Area. My periods at altitude did seem to break some of the programmed pain patterns, but I don't know if there have been any scientific double-blind studies to confirm that. But going to a spot where everyone is on vacation and having fun in the Yosemite high country might account for that too! Every time I start thinking physical I seem to notice that there are other emotional factors that cannot be discounted.