If you have craigslist or a local sale paper, you could check there. Also if you look at ebay in your local area if you have that.
You have to have a prescription to get oxygen. It is controlled because if you do not know what you are doing with it, you can cause damage as well. You also need to make sure it is mefical grade oxygen and not oxygen from a welding shop or something like that. If you find an oxygen tank, then they can not ship it full. It has to be emptied first. Then good luck finding somewhere to refill it.
You are right as far as when you have foal in need, they need the oxygen right away. Most of the time it is too late by the time the vet makes it or you get to the vet.
They are out there and I am looking into getting one myself after April just lost her foal. It seems to be one of the must haves if you are presented with a big problem but also one of those things you might never use.
Good luck in finding one and please be sure you know what you are getting. The wrong type of oxygen or oxygen administered the wrong way could cause permanent damage :-(
Updated to add that I found one after I posted this........
http://www.emergencypax.com/oxygen/.