In this scenario, the most likely structure functioning improperly is the alveoli.
Alveoli are the tiny air sacs in the lungs where gas exchange occurs. If the alveoli are not functioning properly due to conditions such as pneumonia, pulmonary edema, or other respiratory problems, this can lead to inadequate oxygen being absorbed into the blood, resulting in low blood oxygen levels.
While issues with capillaries or the pulmonary vein can affect oxygen levels, in the context of proper blood circulation but low oxygen levels, the alveoli are the most critical point to consider. The aorta primarily deals with distributing oxygen-rich blood to the body, so any malfunction in the aorta itself would generally lead to more systemic circulation issues rather than isolated low blood oxygen.