I've been thinking about something like that, too. They could go on oxygen, but the emergency air supply is only good for about 20 minutes or so. And if a fire or something knocked out their communications, they might not be able to call anyone.
The problem is, if they lost cabin pressure or had smoke in the cockpit or something, it seems to me they would simply descend to a lower altitude before they ran out of air.
You're right, not much of it really makes much sense. We really need to find that cockpit voice recorder.
Onward and upward,
airforce