Can oxygen disappear?

It happened 2 days ago, in the biggest bank of New York and the most famous, the giant Bank of America , the police was surrounding the skyscraper , the lights dazzled the passers-by , the bank has been broken , the police entered into the bank , 7 men on the floor .
Right in the middle of all this noise, the thief got out, with 40 million dollar in cash, this man is called Oxygen because he disappeared without trace, his real name is James Meckler , already condemned for rape , armed robbery murders , he escaped Attica prison one week ago .
This was the first time besides 15 years, the police saw him, all the authorities was tracking him down , he was running along the street when his phone rang, James took the call:

“- Advance towards the building in front of you.
- Who are you?
- If you want to escape the police, follow my instructions
- How can I trust you?
- You don’t have the choice. Next to this building there is a parking lot, you will see a police car, I knock him out, and he is going to go back to him in less than 90 seconds thus make it fast
- Why do you do that?
- I want to avoid you the prison”

Oxygen run towards the police car, waked up the policeman , took his gun .James obliged the policeman to drive for 45 minutes until a disused factory.
The two men got out of the car , Oxygen asked the man to turn himself to kill him :
“- Please don’t do that, think about my wife and my little girl I could not see them again - I don’t care about your wife and your girl!”

James received a phone call and said to the unknown man :
“- You are an angel. I am amazed!”
And the voice on the phone answerd:
“You know why I will never see my wife and my little girl again, because you took them away from me , it’s because you killed them 5 years ago !”
The man dressed up like a policeman returned himself and put of his mustache and wig.
“You don’t remember me?”
James try to shot him but when he pulled the trigger