Are there breathing exercises to improve oxygen levels?

CVS brand has a good O2 oximeter. It accurate. Red color and comes in a padded case. Good advice AlvaDeer.

Easily looked up on any search engine, and there are many. Look for them and do whichever appeal to you. Google (or other search) "Breathing Exercises". Be certain you order NOW and have on hand an O2 oximeter. Now about 20.00 on Amazon they work great and give you a good reading. Once a technology only in your hospital and now you can have one for a few bucks. And SHOULD. Too late to order when you have an asthma attack or are feeling short of breathe.
Now, I am hoping that this question is curiosity and is about making yourself strong, not about current problems you are noticing. If the latter is true, definitely see your doc.

Cardio and pulmonary exercise is good for improving lungs and oxygen levels.

My husband goes 3 times a week for his heart but it has worked tremendous for his lungs as well. He used to wheeze all the time but doesn't any more.

He does this through the hospital for 40 minutes each session. Usually does bike and treadmill. It is recommended for both heart and lung patients.