Neither the Oxygen nor the Ozone has got a midi in. They have 2 midi outs and they're supposed to connect to a PC by USB. One of the midi outs is from the keyboard, the other one is from the computer, sort of half a midi interface.
A bit of a missed chance by M-Audio.
They also make merge boxes, maybe that's why.
If you have a midi in on your computer and a spare USB port, maybe you can connect the P120 with midi and the ozone with USB. Then you will have to use some kind of "virtual" merge box to internally merge the signals. Don't know if that's available.
I would go for the "hardware" merge box though, you always tend to end up needing at least one. I got one and cant do without it ever since.
I also got a PC1600x that merges the incoming midi data with it's own midi data. I would recommend it to you, but as you will have to program it in HEX it might not be the best controller for you.
I still need the merge box as well