Because at any intensity you still exhale oxygen that your body was unable to utilize, there is an abundance of it because your lungs have an absolutely enormous surface area through which oxygen can diffuse into the blood stream.
If you had only 1 lung though, you may in trouble, it’s probably just redundancy like your kidneys
Conjecture is not equal to data. We base reality on data, not conjecture.
A friend of mine is an exercise physiologist that does VO2max testing on dozens of athletes per week. Testing of athletes he’s done indicates that well-trained cyclists that take up wind instrument players increase their VO2max. The numbers don’t lie.