It's the stuff which is delivered to the atmosphere from thousands of oxygen comets which pummel the earth on a daily basis.
Once the comets have bursted into a giant flame, chemical compounds which are lighter escape blast center, raining down in a gas, creating what we know as fresh air. We call this the Big Bang effect.
Afterwards, the Bendy Aether traps the oxygen comets in the atmosphere after they burst.
We can call air a gas because in the late 1600s a British scientist revolutionized our understanding of the Universe as we know it when he tried to breathe liquid water.