FAR 121.333
(2) When operating at flight altitudes above flight level 250, one pilot at the controls of the airplane shall at all times wear and use an oxygen mask secured, sealed, and supplying oxygen, in accordance with the following:
(i) The one pilot need not wear and use an oxygen mask at or below the following flight levels if each flight crewmember on flight deck duty has a quick-donning type of oxygen mask ...:
(A) For airplanes ... of more than 30 seats, ... at or below flight level 410.
(B) For airplanes ... of less than 31 seats, ... at or below flight level 350.
(3) Notwithstanding paragraph (c)(2) of this section, if for any reason at any time it is necessary for one pilot to leave his station at the controls of the airplane when operating at flight altitudes above flight level 250, the remaining pilot at the controls shall put on and use his oxygen mask until the other pilot has returned to his duty station.
I don't know how the UK regulations compare, but the FARs appear consistent with the requirement LG heard to use oxygen if the other crewmember leaves the flight deck.