Why do I need to wear oxygen and do breathing exercises? I broke my pelvis yesterday.

Yes, probably. There is a chance to develop atelectasis, and or pulmonary embolism when staying in bed for quiet a while ( due to broken pelvis); breathing exercises and oxygen may prevent that.
Well... You are 93, you broke your pelvis and this can be traumatic on an old body. The oxygen may not be necessary but can help especially if you are saturating less than 90%. This puts less stress on your heart so it doesn't have to pump as fast and hard. The breathing exercises are to prevent you from getting pneumonia while you are in bed. Hopefullly they will work to get you upright soon.