[Fyron]

Not all living creatures have to use oxygen - if we cant explain it it doesnt mean it cant be.

The problem is that there are no other substances that can perform all of the roles of oxygen in complex organisms. All organisms on Earth that are more than a simple cell rely on oxygen for all parts of energy generation (not necessarily storage, as for plants, but the molecules they store it in still rely on oxygen). This is because oxygen is a very unique substance that has just the right combination of electronegativity, molecular mass, size, charge, ionization, etc. to work as it does in organisms. Complex alien organisms that do not rely on oxygen could not rely on a single gas; they would have to use several things to fulfill all of the roles of oxygen. And yes, they all need to be fulfilled, because they are too fundamental to be ignored (all relating to energy transmission within the organism and releasing the energy to be used).