The issue is, plants do that by combining water and CO2 into energetic compounds, with an oxygen byproduct - then they do the same our bodies do, which is breaking up those energetic compounds using oxygen to release the stored energy. And yes, plants consume oxygen and produce CO2 - they just do more of the opposite turning the excess into structural materials.

This requires a supply of energy in a form that can be consumed (laws of physics prevent you doing it by cooling your body down), so you'd need to, for example, receive enough energy from sunlight to match your energy consumption, and generating oxygen through that would actively make you fatter.

Oh, and as an addendum, we could maybe use less oxygen to break up those energetic compounds, similarly to how fuel can burn with reduced oxygen - but the fun thing about that is, that produces carbon monoxide, actual poison, so that's also a no-go.