Gaseous oxygen at normal Earthly conditions is composed of diatomic molecules. At very high temperatures, these can decompose into individual atoms. In other words that means that it is made of molecules.
There are no such things as "an atom molecules". Molecules are made of two or more atoms for instance: an Oxygen molecule is made of two atoms of Oxygen that are joined together. a Methane molecule is made from 4 atoms of hydrogen and one atom of Carbon that are joined together.
Elements are not made of molecules. Molecules are made of elements. There are a number of elements which form molecules consisting of two atoms. Oxygen, nitrogen, hydrogen, chlorine, etc., all form gases composed of diatomic molecules.
Ozone is a gas whose molecules are made up of three oxygen atoms* bonded together that occurs naturally in the upper atmosphere. _____________________________________ *Not molecules, as in the question statement.
No elements can be made from molecules, because molecules are made from elements instead. If the question is really, "What elements normally occur in nature as diatomic molecules?", the answer is hydrogen, nitrogen, oxygen, fluorine, chlorine, bromine, and iodine.