Even if individual drills are used, these are based on the manufacturer's checklists and/or recommendations. And I am pretty much convinced (or more precisely: 100 percent certain) that there is no manufacturer of pressurised aircraft and no training provider who does not put "don oxygen masks" on top of every checklist related to pressurisation problems.
I think it's common sense to safe guard yourself against hypoxia, if in doubt get the mask on!
But no, there are checklists that involve pressurisation that don't have memory items and don't instruct you to put the mask on. On the 737 a dual pack trip off means your cabin altitude will increase at leakage rate. An unscheduled pressurisation change tells you to increase thrust to ensure air supply to the cabin. None explicitly states where and when to put the mask on. Press. problems can come in different shapes and forms.