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Atmospheric nitrogen is useless to most life, as it's extremely hard to break down into other nitrogen compounds. Certain bacteria are the exception, and they're very important both to ecology and human agriculture (although less so since the Haber process was invented and artificial fertilisers became available). The other natural source of nitrogen compounds is lightning strikes.
Oxygen is completely the opposite. It's unstable in an Earth-like environment (which is why fires happen), and if you find it in such an environment there must be something special producing it continuously. It's not the only biomarker astronomers look for, either. There was a planet with insane amounts of a chemical called DMS found recently, and that's just as eye-catching, if weirder.
You've actually got that somewhat backwards. To go really deep you switch to heliox or similar. Nitrox is for intermediate depths where you need less oxygen than in the normal nitrogen-oxygen atmosphere, but nitrogen narcosis isn't an issue yet.