I agree with HurtsMyHead. O2 is such a well known treatment for cluster sufferers that for your PCP not to prescribe it (unless there is a very specific reason not to) calls into question his/her knowledge about the condition and any other recommended treatment. Find someone who is comfortable with the condition and can refer you to a specialist.
(Long shot but...any chance you're in New England area of US? Is so I can recommend a great neurologist in the MA area. )