Bottled air is used for SCUBA because it is simple, reliable and relatively inexpensive and an open circuit system with a demand valve is pretty safe to use.
There are closed circuit systems (rebreathers) which use bottled pure oxygen and CO2 scrubbers, which give greatly extended endurance per weight, but they are significantly more complex than gas-mix SCUBA as the partial pressures of O2 and CO2 need to be carefully monitored and controlled and tend only to be used for specialist military and commercial applications as even small variations in gas mixture can be fatal.
If you are breathing a gas mixture which already has the correct partial pressure of oxygen then there is much less to go wrong. In this case only a small fraction of the oxygen carried is actually absorbed but having an open circuit means that you are always breathing the correct partial pressure of oxygen and exhaled CO2 just escapes as bubbles with each breath.
You also need at enough pressure in the system to ensure that you can actually inhgale against the water pressure at whatever depth you are at, again a high pressure cylinder with a demand valve is a failry simple way to achieve this.
Once you start using pure oxygen you need to use either a closed circuit system or prvide an inert gas to dilute it to the correct partial pressure.
There are two key things to consider here :
1) The partial pressure of oxygen needs to be right, too little and it can't be absorbed by osmosis, too much and it becomes toxic. Equally you only inhale a small amount of oxygen for each lungfull as it is absored passively across a concentration gradient.
2) It is just as important to be able to get rid of carbon dioxide as it is to absorb oxygen, indeed the breathing mechanism is driven by CO2 concentration which is why it is such a powerful asphixiant. In a sealed room you will die from CO2 asphixiation beore you run out of oxygen.