She uses a walker, is on oxygen and her judgement is very impaired? She feels sorry for herself whenever my husband and I do anything "fun". We do take her to the movies and out for a meal occasionally, but that is all either of us can handle. The idea of travelling with her is overwhelming and not something we are willing to do. So far, I just change the subject quickly. Maybe that is what i need to keep doing. Is there any literature out there that helps one learn what to say and what not to say to a person with dementia?
Does the facility offer outings? Many do things like take residents to a sporting event or out to lunch or to a casino. I'd encourage her participation in these kinds of things and get her to talk about them. Then she'd have a fun thing you weren't involved in.
Other than that, I think you are handling this appropriately.