What the bag does
Similar bags are used in systems to deliver high flow oxygen in a healthcare setting.
During inspiration air flows into the lungs very quickly, usually at several hundred litres/minute. When wearing an oxygen mask one breathes in a mixture of ambient air plus supplemental oxygen. As the highest flow achievable from the regulator on the oxygen cylinder is quite low (typically fifteen litres/minute) the contribution made to the inspired gas mix would only be very small if it were fed into the mask. Increasing the oxygen flow is impractical as the cylinder size would have to be enourmous, so to get round this a reservoir bag is used - this is constantly filling by the trickle of oxygen from the supply (even when breathing out). When one breathes in the bag collapses as the oxygen is drawn into the mask all in one go, enabling a higher percentage of oxygen than otherwise available (roughly 80-90% vs. 50% or so for a direct fed mask).
I guess the flow rate from an oxygen generator is also quite low, hence the reservoir bag.
Andy