Pulmonary Embolism Support Group
By far the most common form of pulmonary embolism is a thromboembolism, which occurs when a blood clot, generally a venous thrombus, becomes dislodged from its site of formation and embolizes to the arterial blood supply of one of the lungs. Symptoms may include difficulty breathing, pain during breathing, and more rarely circulatory instability and death.
I was in the latter group, but I also had clot busters like rmb did, and I can tell you recovery was really hard even having had that. I didn't need oxygen once I was at home, but I also never got pneumonia afterward either. All you can really do right now is trust your doctor to know what's best for you, and just worry about what his/her opinion is of things. If your oxygen saturation is so low, obviously you need it, but find out from the doctor if there is anything you can do to improve your recovery, like breathing exercises or anything else that might help you. Obviously, you're not going to be feeling very well as long as you have pneumonia, so basically your first thing to worry about is just getting better from that.
I'm with the others... ignore the nurses, since they don't know what's working for YOU personally. There have been plenty of people on these boards who used oxygen on and off for quite a while after their PEs, so I really don't think you're unusual in that respect. But, yes, double-check with your doc about whether he/she is concerned and whether you should get a referral to a pulmonologist. Asking a lot of questions can help you feel more in control of your health and recovery, which can really work wonders when you're stressed.
And yes, the recovery does end, although it ALWAYS takes longer than we want it to. I was feeling decent by six months, although I still had bouts of exhaustion and pain up until 11 months when I pushed myself too hard. I'm almost six years out now (in January) and I've been back to normal for a while now. It will happen for you too! Hang in there and keep us posted!
Me, I was on oxygen for a couple of weeks after my massive PE and then it was touch and go for a couple months after that. If I had had pneumonia on top of that I definitely would have been back in the hospital and back on oxygen so it's no surprise to me that you need it. The most important thing right now is to protect your body by using the oxygen, and once you've dealt with the pneumonia start looking at what might help improve your oxygenation in the mid to longer term.
In the immediate term, there are some things that can help prevent pneumonia (I realize THAT horse is out of the barn, but they might make it less severe if you can start them now?). Unfortunately I can't remember all five of the steps that were on the poster at the hospital, what I do remember is to use an incentive spirometer each hour (ask your doctor for one if they didn't give one to you), deep breathing then coughing 5 times once an hour, and making sure to sit up and stand up rather than lie down. All of these will help clear the phlegm and other crap out of your lungs.
In the mid to longer term, once you're well enough, I found physiotherapy and pulmonary rehabilitation very helpful.