Infrastructure for distributing the air once it gets to the settlement is one thing. At least for now, though, Earth is the only place to get oxygen in life-sustaining quantities, which is the single source they're talking about.

Maybe you can posit harvesting oxygen from mineral oxides, hydrolyzing water if you can find it, or capturing an ice asteroid. Whether you split every atom of oxygen you breathe out of rust or lift them out of earth's gravity, let alone doing both for redundancy, it's orders of magnitude more energy and complexity than growing potatoes in Antarctica.