Non-invasive depth-resolved measurement of hemoglobin oxygen saturation ($\ce{SaO2}$) levels in discrete blood vessels may have implications for diagnosis and treatment of various pathologies. We introduce a novel Dual-Wavelength Photothermal (DWP) Optical Coherence Tomography (OCT) for non-invasive depth-resolved measurement of $\ce{SaO2}$ levels in a blood vessel phantom. DWP OCT $\ce{SaO2}$ is linearly correlated with blood-gas $\ce{SaO2}$ measurements. We demonstrate 6.3% precision in $\ce{SaO2}$ levels measured a phantom blood vessel using DWP-OCT with 800 and 765 nm excitation wavelengths. Sources of uncertainty in $\ce{SaO2}$ levels measured with DWP-OCT are identified and characterized.