Are there any parts of the human body that get oxygen directly from the air and not from the blood?

The cornea in the eye.

Explanation:

The cornea is the only part of a human body that has no blood supply; it gets oxygen directly through the air.  The cornea is a transparent tissue, allowing for light to pass through. If it had blood vessels there, that would be an issue - for that tissue! And the cornea receives its oxygen directly from the air. When contact lenses were first used, people were instructed to take out their contacts when they go to sleep - because wearing them at night would reduce the oxygen intake to the eyes. Then they began manufacturing contact lenses that allowed for the lenses to “breathe” permitting people to wear them day and night.

a, i am pretty sure.