I agree with Cipher's answer, but just to add, from a certain point of view, Oxygen could be stored and used like a fuel in a situation like that.
Now, as far as aliens doing so, I have some doubt that you can have life (intelligent life if they're using fuel) on a planet with a Nitrogen/CH4 atmosphere cause I don't see how that would actually work and how the resperatory cycles would balance out. I looked into that a little bit and it gets pretty complicated, so, I don't want to say it's impossible, but I suspect it's unlikely, but, if we take your scenario and work with the assumption that there's intelligent life on a Goldilocks planet that breathes N2/CH4 (maybe throw some CO2 in there), on a rocky planet with oceans, I see no reason why they couldn't use Oxygen as fuel, at least, running "oxygen lines" inside their alien homes to make fire, perhaps to cook with - sure. It seems like it would be a useful convenience. You don't gain much energy pulling Oxygen from Silicate rock or Iron Oxide or from water and then using it to burn in a methane atmosphere, so I don't think it would be an energy source, unless they use bacteria to produce oxygen and then, maybe. Oxygen wouldn't concentrate underground the way hydrocarbons do, so in that sense, it wouldn't be drill-able, but as a transportable "fuel like" substance, it would work. I see no reason why that couldn't be done.
If we ever set up an astronaut colony on Titan, which, while much farther away from the earth than Mars, it has several advantages, one being, the surface pressure is manageable, so structures wouldn't need to be able to contain a significant fraction of 14.4 PSI. They'd need to be mostly air tight, but compared to the structural integrity needed to not lose atmosphere to a vacuum, that's easy.
Astronauts/colonists on Titan would be able to collect rocky CO2 and H2O from the Moon's surface and use that to grow plants inside and in time, they would probably have an abundance of oxygen and under certain circumstances, that Oxygen could be used in a similar way to fuel. I think the scenario the way you wrote it is very unlikely, but oxygen being used like fuel on a methane or hydrogen abundant atmosphere, more likely some kind of astronaut colony, there's no reason why that couldn't be done that I can think of.
PS - That's on the speculative side for an answer here, but that's my thoughts on the question.