The Oxygen Cylinder is a key item in Ninja Gaiden, the first game of the modern Ninja Gaiden series, found and used in "The Path To Zarkhan" chapter. Once obtained it allows Ryu indefinite breathing while under water, as it is essentially a diver's oxygen tank.
The Oxygen Cylinder is always found inside the half submerged sunken small ship in "The Path To Zarkhan" chapter. If playing Ninja Gaiden Sigma onwards, it is on the lowermost submerged section. If playing any previous version of Ninja Gaiden, one must first find the Hand Crank to turn the reel at the top of the ship, which will open a secondary compartment where Ryu can find the Oxygen Cylinder.