TLDR version: This effect would be localized.
There is a strong tendency to convolute climate change and pollution. Climate change is causing an overall increase in temperature, a generalized shift in were moisture accumulates, and the acidification of the oceans. None of this results in less oxygen on the surface.
There are some parts of the world where wearing a filtration mask is necessary to keep your lungs from getting damaged due to the industrial pollutants. Most of the world recognizes that it creates an environment where people can't safely live much less work, so anywhere with a responsible government will force the industries to clean up their emissions, or to convert it into a disposable form, the way we do with fly ash. There are a few counter examples, like Beijing but even the worst of the industrialists recognize that you can't have industry without workers.
For the entire planet to get that way, you would need highly automated (workerless) industry and some kind of global catastrophe that wiped out almost all of the plant life.