Modern explosives self produce the oxygen needed for their functioning (this is why you can fire them underwater), so the oxygen content of the atmosphere has negligible effect.
With 3 times higher pressure you have approximately 3 times higher density. Density is important because the energy transferred by the shock wave increases by decreasing the difference in acoustic impedance of the carrying media. I.e. all other being the same, firing a bomb underwater deals more damage to a structure a bigger damage than firing the bomb in air, because the acoustic impedance of water is closer to the acoustic impedance of any solid.
The thing is, air is about 3 order of magnitude less dense than solids or liquids, or to put it in layman terms, it is a factor 1000 less dense. Thus, even multiplying the density by 3, you are barely scratching that 1000: the pressure wave will produce roughly the same damage.
If you want to go the math way, given two media, 1 and 2, the Transmitted acoustic power when going from 2 to 1 is given by $T=1-$$Z_1-Z_2 \over {Z_1 + Z_2}$$=$$2Z_2 \over {Z_1 + Z_2}$, where Z is the acoustic impedance.
As you can see, if you triple $Z_2$ you are slightly increasing the transmitted power.
To have a ballpark figure, let's say that $Z_1=1000$, $Z_2=1$ and $Z^*_2=3$.
$T=$$2Z_2 \over {Z_1 + Z_2}$$=$$2 \over 1001$$=0.1\% $
$T^*=$$2Z^*_2 \over {Z_1 + Z^*_2}$$=$$6 \over 1003$$=0.59\% $
Incidentally, this is why one get spread with gel before getting an echo scan: to make some ultrasound reach the inner of the body.