Hello! I went through a similar thing with wildly fluctuating O2 levels after pneumonia/sepsis. I was told by many people that anxiety can definitely cause your O2 levels to dip.
The day that I finally had my pulmonologist appt I asked him that exact question. Can anxiety cause 02 sats to drop? He said absolutely not". He said anxiety can cause high heart rate but cannot cause low oxygen levels. He said anxiety has nothing whatsoever to do with oxygen sats. My jaw dropped because so many people including his nurse said anxiety can do this! So of course I became scared again. I even repeated the question to make sure he hadn't misheard me but he still said no. I know not every doctor is right about everything. If anyone knows different, please let me know! Thank you!