Most oximetry is performed optically, actually[1], and it is the technology Apple is drawing from to determine heart rate[2]. It's not difficult to build an oximeter[3], though reliable and calibrated O2 sat[4] numbers may be more challenging to derive from a device in the form factor of a consumer watch.
I'd love it if the first generation Apple Watch had an oximeter. But I don't think it will (despite all the sensors on the back). The reason is the FDA. Measuring your pulse rate is something that has been done for centuries if not millennia. But pulse oximetry is very recent, and the bureaucrats are willy waving to show that they're in charge. See e.g. this article that discusses the topic.
http://mobihealthnews.com/29956/building-the-case-against-ap...
Might be, but none of the training watches on the market with optical pulse sense offer something like that, AFAIK.
If it also would work under training conditions is to be seen.
1. https://en.wikipedia.org/wiki/Pulse_oximetry
2. https://en.wikipedia.org/wiki/Photoplethysmogram
3. http://www.swharden.com/blog/2013-04-14-simple-diy-ecg-pulse...
4. https://en.wikipedia.org/wiki/Oxygen_saturation_(medicine)