Usual practice unpressurised, but on oxygen, is to limit pressure height to FL250 to minimise the likelihood of untoward physiological problems
I met friend in Florida who had just landed his tactical jet following a flight from Puerto Rico. He had lost pressurization on climb and had elected to press on!
Despite breathing 100% oxygen, he was suffering from "the bends". Enroute altitude was in the mid 30s. Usually pre-breathing 100% oxygen 15 minutes at sea level gets rid of enough dissolved nitrogen to protect you but prior history of bends can make you more susceptible.