You don't say what makes you think you are short of oxygen, but I'm thinking you might be feeling short of breath. Breathing is strange, in that if you think about it, it does weird things. Often you feel you are gasping for oxygen, which is awful! And the more you struggle, the more it feels you aren't getting any. Naturally, the sensation of suffocation is going to cause panic.
The best thing I've done for this is getting a little fingertip oximeter. Now when I feel that I can't get my breath, I stick my finger into it and easily check my blood's oxygen saturation. When I can prove to myself that I have plenty of oxygen even though I feel that I don't, it helps so much to control the panic which makes it worse. And without the panic, I can work on slowing down and steadying my breathing.
Any chance anxiety is an issue? It can be so frustrating because we don't think we are anxious, but our bodies would disagree : (
When you're in for a stress test, is the doctor satisfied with your exercise tolerance levels, etc?