The engine doesn't care if the air is "cold" or "hot". An engine will not make more power if an air molecule is cold vs. hot. It just needs oxygen and through the laws of physics, colder air (which is relative) contains more oxygen particles. Yes your right, no O2 is being "created", HOWEVER, because the air is being cooled, it basically compresses the set volume of air in the chamber (and check this out) makes room for more air to enter, giving you more oxygen particles than if the air were ambient. You can kind of think of it as it compressing the air by cooling it, but thats not an accurate statement. More like it makes more room because cooling the given air "shrinks" that volume down.
Here's another example. Lets substitue O2 for H2O and say our engine uses water instead of oxygen to "burn" with gasoline. Take a 2 liter bottle and fill it with liquid H2O. It would be exactly 2 liters. Say we could squeeze in solid H2O (ice) into the same 2 liter bottle. Fill it to the top and cap it. Now let it change back to liquid. Obviously the cap would pop off or the bottle would explode. The car wouldn't care if it was frozen or liquid, it's stil H2O. The diffence was that at a colder temp. (ice) there was more H2O present, verified by the exploding bottle once the temp increased. and melted the ice and there wasn't any room left. Make sense?