It's important to note that low O2 doesn't cause a feeling of respiratory distress -- which is why carbon monoxide is so dangerous and why we have carbon monoxide detectors.
What does cause the feeling of respiratory distress, is CO2 buildup. We are used to having low O2 and high CO2 happen together (This correlation is likely why we evolved to detect low O2 through high CO2). Usually respiratory diseases impair both O2 intake and CO2 removal.
What's unusual about SARS-Cov-2 in this regard, is that it impairs O2 intake without harming CO2 removal - and it is unusual when compared to the vast majority of respiratory diseases, but also occurs in e.g. altitude sickness. To the best of my understanding, it has nothing to do with CNS depression in either SARSCov2 or altitude sickness.