That's probably one of the best explanations I have heard, with only a few small points that need correcting. This is five years later though, so I am sure it doesn't matter to anyone involved in the thread, but it might matter to a new student or someone who comes by. So I'll speak on it a bit more elaborately than might be necessary for everyone here, but not with the intention to be condescending, only informative and clear.
With regards to your interpretation of the PaO2 being bad at 60, despite an SpO2 of 95%, some clarity is important. It would be easiest if I did a quick recap, to get everyone on the same page. Remember that the partial pressure of oxygen (the pressure exerted individually by each gas in a mixture) is directly proportional the percentage of that gas in the mixture. So while the oxygen concentration for room air might be 21%, roughly, the mixture of the gases in the alveoli means that the concentration is closer to 13.7%. At sea level, the atmospheric pressure is 760 mm Hg, so this means the partial pressure at the alveoli is about 104 mm Hg (13.7% * 760 mm Hg). Okay, so now the ugly details are out of the way, and we know where the arterial pressure I will be referring to came from, which will be important.
If the lungs are functioning properly, 104 mm Hg should be the beginning arterial partial pressure. The oxygen-hemoglobin dissociation curve is such that hemoglobin's affinity for oxygen stays relatively stable over a large change, with only a 7% drop, from 104 mm Hg to 60 mm Hg. So starting at 97% (100 mm Hg), it would still be at 90% saturation (SaO2) by the time it reaches 60 mm Hg PaO2. This is more or less what you said, but I’d like to make the distinction about the severity of this state. For instance, those living at a higher altitude, such as 10,000 feet above sea level, will innately have a different PaO2, because the atmospheric pressure will be lower. Plugging it into the equation, you see that the PaO2 is roughly 72 mm Hg. Owed to hemoglobin’s stable affinity for oxygen, a person’s oxygenation status is not greatly altered by this. Although at this level, and certainly higher elevations, you get into the conversation about compensatory mechanisms, like polycythemia, but I wont go into that here.
So, absolutely, starting at 60 mm Hg from the lungs indicates an issue, but the relationship isn’t such that having an SpO2 of 90% necessarily means that the PaO2 is low. As you said, PaO2 does not refer directly to hemoglobin saturation, but the partial pressure does largely control the loading and unloading of hemoglobin, and the values are a good index of lung function. When referring strictly to peripheral saturation, the other factors affecting affinity need to be considered, including BPG, CO2, and blood pH; SpO2 wont be a reliable indicator of PaO2, which is why ABG's are done.