Did you check the model number of your Apple Watch?
According to this Apple Watch Feature page, the Blood Oxygen App should work on devices sold in Bangladesh.
watchOS - Feature Availability - Apple
It is not available on Apple Watch models, sold after January 18, 2024 in the US:
...
The Blood Oxygen feature is no longer available on units sold by Apple in the United States on or after January 18, 2024. These are indicated with part numbers ending in LW/A. Learn how to identify your Apple Watch.
...
copied from: About Blood Oxygen availability - Apple Support
Activating an US Apple Watch in a different region will not enable the Blood Oxygen feature, since the watchOS is country specific and can not be changed.