The video is a bit misleading. He claims he is inhaling ozone, which would be a dangerous practice. What he is really doing though is pumping the ozone through what is known as an ozone destructor. And ozone destructors get their name because they destroy ozone. The reaction of ozone on olive oil produces ozonides, which is not ozone.
His oxygen levels increased because the ozone generator only converts a small amount of the oxygen from the oxygen concentrator in to ozone. The majority of the oxygen remains as oxygen and bubbles through the oil. Therefore, he is inhaling a lot of oxygen from the oxygen concentrator. This is what raised his oxygen levels, not any ozone.