Do people with dyspnea have low o2 level?

Sometimes: There are many causes of dyspnea and some include hypoxemia (low o2) but not all. For example, hyperventilation, asthma, deconditioning and obesity all cause dyspnea but not low oxygen. Even a serious cause like a non-massive pulmonary embolism (blood clot) can cause dyspnea without hypoxemia.

Not always: Dyspnea is just breathlessness and can be due to lung or cardiac problems, from deconditioning, obesity or even anxiety problems.