Ah,

I had misunderstood the thrust of your questions.

You want to improve your aerobic capability. Your body has access to more than enough oxygen through your lungs. It is getting the body to be able to use more oxygen that needs to be improved.

By exercising below the lactic threshold (also called aerobic threshold (AT) and lots of other names) you can increase the size and quantity of your mitochondria (energy production component to cells), increase the density of muscle capillaries and increase the amount of blood the heart can pump.
Lower intensity exercise, below the AT, is the only method of increasing your ability to use oxygen in your muscles. Without increasing the mitochondria and capillaries, having more oxygen available would do no good as your body couldn't use it.

Exercise, followed by recuperation time, is the only way to increase your body's use of the available oxygen.