Please note that you cannot tell if an air filter needs to be replaced by visually inspecting it. It can look OK, & still be full of dirt - if it looks filthy, then you're really in trouble! LOL If you don't know how many miles are on the filter, I would change it. It's so cheap & easy - it's not worth stressing your engine to save a few bucks (forcing an engine to run rich all the time can lead to major problems, poor mpg being the least of them!)
As for O2 sensors, we sell a ton of them at the store, & most customers claim that replacing them improved gas mileage, & they did not have a CEL come on - they were just changing them to try to solve a problem, or as regular maintanence, which is a good idea. They can deteriorate gradually, which may not trigger a CEL until they fail completely. Here's a good article:
http://www.autohausaz.com/html/emissions-oxygen_sensors.html I'm guessing maybe the problem w/the vehicle in question here may be a combination of things.
How about clogged fuel injectors? Has fuel system cleaner been run regularly thru the gas tank? I use Chevron every 6 months - many agree it is one of the best.