Very good advice and observations from the other posters, Cap'. But who knows whether your primary doc will actually prescribe O2--it would be rare if s/he does, and doesn't just bump you back to the idiot neuro. As F'T' said, all you need is the prescription. You need to be ready to be persuasively insistent with the primary, or when you go back to the neuro. Or find someone else.
Be aware that you can quickly set up an O2 system using welding O2, as many people do.
Imitrex ain't great for you, for sure, but he just told you to stop--no more prescriptions?
So what are you supposed to be on now--Some Verap (which won't take effect for at least a week), any leftover Trex, and some magnesium (might help) and B-2 (might help).
This post will give you some info about all these things and some other stuff that might be helpful: https://clusterbusters.org/forums/topic/6213-basic-non-busting-information/