Looking more carefully at the original scenario posed and considering the above posts along with a re-examination of the pertinent US regulations regarding crew O2 requirements, I believe that Old Smokey's and 411A's responses are closest to the mark if you indeed have good reason to believe O2 to be unavailable.
My view of this scenario would now go something like this:
Upon recognition of the zero pressure indication, and with normal pressurization function, an attempt to verify the indication should be accomplished. The method for this determination and the level of assurance resulting will vary according to specific aircraft type and O2 system installation. Assuming that O2 supply is determined to be in serious doubt, and that a descent to FL250 would not introduce increased risk, (wx, terrain, fuel range to suitable alternate) cruise descent to FL250 should be initiated after informing ATC of intentions and the reason, if required to expedite handling. Having the portable bottles ready to use is a good thought in case you are having a truly bad day. If sufficient fuel is available to continue to destination at FL250, great. If not, diversion would be appropriate. In either case, the route flown should be considered so as to allow for immediate descent to unpressurized breathable altitudes in case of pressurization malfunction.
Obviously, all possible contingencies cannot be accounted for ahead of time, but this would seem to me to be a sound basis for a strategy to address the scenario as originally posed by stumer. First, determination of a problem and it's safety implications are considered. Second, a plan of action is formulated and executed with safety as the prime goal. Third, once safety is satisfied, customer and company convenience may be considered where it does not conflict with safety or applicable regulations. Finally, once safely on the ground, the interview with the cheif pilot may be considered.
This has been an interesting thread because of the many constructive and thoughtful posts it contains. I'm glad to have the opportunity to work this through on PPRUNE in the safety of a hotel room before having to do it aloft under somewhat more demanding circumstances!
Best to all,
Westhawk