Some people have reported good results with the Win Hof method for cold tolerance and weight loss. I don't think that it's ever been validated in a real randomized controlled trial, but there is at least a theoretical basis to believe that practitioners can learn to raise their metabolisms.
If you want to go the medical route, SGLT2 inhibitors have also shown good results and are well tolerated by most patients.
https://www.fda.gov/drugs/postmarket-drug-safety-information...
As others have commented, breathing pure oxygen is pointless for weight loss and will damage your lungs if you do it for too long.