We flew half a day with multiple legs in a B737 with crew oxygen showing normal. The next morning on first flight of day checks donned the oxygen masks and checked flow. The pressure went from normal to zero. Maintenance had replaced the oxygen bottle the day before prior to our flights and forgot to turn the bottle on.
The bottle was in the fwd cargo compartment and bags were loaded so they had to be removed to turn the bottle on.
If that happened with an airliner think how easy it would be for it to happen in someones private airplane.
If this happened on our flight we would have immediately initiated an emergency descent, then called ATC if we had an explosive decompression. If it was not explosive then deal with it as required.
It is ATC's job to separate traffic, not read a pilots mind on how serious the situation is and compromise his traffic separation.