Actually, there is an implied threat in the details of the original question and subsequent scenarios: (Ad Baculum fallacy)

"I read a story about a man who had convinced a town that he owned all of the air and the people in the town were thankful to him for providing it."

This is clearly a parable but it might also be a special pleading of some variation if further developed as a syllogism. Certainly, the gullibility of the townsfolk might be better diagnosed as a viral cognitive bias or a symptom of mass hysteria. ( Perhaps even an example of ad populum if the reasoning to believe the charlatan's preposterous claim is because everyone else in the town believes it to be true,

However, the questioner goes on to explain: "If someone crossed him (he took away their air privileges) and they suffocated, presumably because they knew they should not breath (sic) air which did not belong to them."

The paralogical reason here is that you must believe the charlatan's claim or else "he will take away their privilege" is definitely an example of ad baculum fallacy.

As are the other scenarios:

"We should be thankful to god for providing us with food, shelter, safety (and air). ( Or else face the consequences of suffocation)

An abusive husband might say...

"You should be thankful to me for letting you talk to your friends after after (sic) what you did yesterday." The implied threat is if she does not exhibit the proper expression of gratitude the abuse will continue.

An abused wife might believe this saying...

"I am lucky my husband let me talk to you after I disappointed him yesterday." This is more of an example of battered wife syndrome than a logical fallacy.

Many claims/threats can be converted into an argument or have implied arguments. If one can argue for an implied argument, than one can also argue for a more "official" fallacy. I think the bottom line is clear and something on which we can all agree: these statements are not made from a place of good reasoning (either poor reasoning is used or in the case of faith, "faith" and no reasoning), and this is what is most troubling about them.

Could this be a fallacy of fantasy projection.

what if I think I own all the air and this is a fantasy. If I ask you to pay me to use the air which I own then I am projecting my fantasy onto those around me. If people believe that I really do own all the air then they are falling for the fallacy too.

It's hard to tell, the question itself seems to be a weird parody (parable) of religious hysteria itself, but with an argument that is often used by fundamentalists as the ultimate go-to threat: believe or face the consequences. So, while the construction of the question seems odd, the fallacy behind it seems somewhat self-evident.

@Bo Bennett, PhD: I am an atheist and if a christian told me that I was a sinner who needed to repent that is his fantasy from my perspective. So assuming that there is no christian god, is the christian suffering from the fallacy of fantasy projection?

@Jacob: Let's review that definition:

Confusing subjective experiences, usually very emotionally charged, with objective realities, then suggesting or demanding that others accept the fantasy as truth.

So it depends on one's justification for their belief. As you know, many believers think that the evidence points to a god, and some don't even rely on personal experiences. So in these cases, no. However, if one is basing their claim to "truth" primarily on subjective experiences then I would say yes.

@Bo Bennett, PhD: Okay so if someone uses subjective experiences to back up their belief in Christianity then the argument qualifies as fantasy projection? I can relate to this. I was raised christian, but I never felt any subjective "evidence" that god existed. I converted to logic when I as 22.

@Jacob:

Okay so if someone uses subjective experiences to back up their belief in Christianity then the argument qualifies as fantasy projection?

then suggesting or demanding that others accept the fantasy as truth. - Yes