They don’t need oxygen until the hatching process. Just like human babies in the amniotic sac. Once they begin breaking through the eggshell, the membrane begins to dry out, they (should) will be introduced to air in this phase. There definitely are “veins” in the membrane but as long as the chick continues to work on getting out of the shell, the chick will detach normally. It takes some time, and you shouldn’t help them unless absolutely necessary. If you try to break them out, there’s a big possibility you could damage that blood supply before they’ve detached, causing excess bleeding and possible death. You have some currently hatching?