I've never heard of this as a side effect. Oxygen has nothing to do with how the drug works. Are you feeling sedated? Antidepressants have as one of the most common side effects a feeling of sedation that sometimes goes away with time and sometimes doesn't. It could be you're feeling more tired and that's why you're yawning more, and it could be a habit you've picked up because of some other side effect.
It is an unwanted side effect, so nothing can be done to prevent it. Whatever it triggers to make your body yawn is not going to change.
Most side effects disappear with time, hopefully you might get rid of it.