No because Oxygen is an element and it only contains atoms of Oxygen and nothing else, no Hydrogen at all. A compound of Hydrogen must contain Hydrogen plus something else. Water contains Hydrogen and Oxygen (H2O) so that would be a compound of Hydrogen and oxygen.
You get a mixture of liquid hydrogen and liquid oxygen. If this is done at ordinary atmospheric pressures, the oxygen will probably freeze, since its melting point is above the boiling point of liquid hydrogen. (I'm not sure of the solubility of solid oxygen in liquid hydrogen.)
Water, H2O, is a molecule of hydrogen and oxygen. It is considered a compound. That said, yes, oxygen and hydrogen combine to make a compound that is represented by the molecule H2O.
Hydrogen is an element. Oxygen is an element. Hydrogen reacts with Oxygen to form a compound which is called water and has the formula H2O. Hydrogen and Oxygen can also form another compound called Hydrogen peroxide (H2O2)
H2O2 is a clear liquid known as hydrogen peroxide. It is a compound with an oxygen-oxygen single bond. Concentrated H2O2 is often used as a propellant in rocketry.
water is a compound of hydrogen and oxygen, H2O. table salt is a compound of sodium and chlorine, NaCl. ordinary sugar is a compound of carbon, hydrogen and oxygen, C12H22O11.