Instead of using ozone can I inject medical oxygen into a steam sauna capsule to achieve the same benefits ?

I certainly would not recommend injecting ozone into any atmosphere where I planned to do any breathing. As for medically (USP) pure oxygen, I suppose you could inject it into a sauna, but I don't know why you would want to do that. Your body can only use so much oxygen; it's not going to absorb more than it needs. And there is the risk of explosion and violent conflagrations (fires) if a spark should happen to occur around the oxygen. There are also a rare few people (COPD patients, for example) where they simply stop breathing if they get too much oxygen. I think I would just enjoy the sauna as-is and leave the oxygen bottle alone.