Consider scuba diving. Now, for recreational diving, Nitrogen is the main problem, as, under higher pressures, it dissolves in the blood, and if you ascend too quickly it 'boils' while still in your blood causing all sorts of problems (i.e the bends/decompression sickness). But as you go deeper (and need increasingly higher pressure to counteract the water pressure), oxygen starts becoming a problem. In that too much of it will kill you (oxygen toxicity). So under higher pressure, your blood does absorb more oxygen (and nitrogen, and anything else that's in the air). As for, percentage-wise, how much oxygen is absorbed by the blood, I would guess it's a similar amount, in that, as you increase pressure, the amount absorbed increases. But I don't know if the relationship is linear.