That's right, it is an electro-chemical cell. The voltage generated is related to the difference in oxygen concentration (actually partial pressure) on the two sides of the cell. One side is air, so 20% oxygen on the other side gives zero output. Zero oxygen gives maximum output. The sensor application was an accidental find by researchers who were working on batteries for the space program. A retired former colleague was one of the original researchers at the Westinghouse R&D labs in Pittsburgh.