Before the formation of oxyhaemoglobin, the O_2 has to pass through...

To form oxyhaemoglobin, oxygen from the alveolar air must diffuse into the red blood cells (RBCs) where haemoglobin is present. During this process, the $\text{O}_2$ molecule has to pass through the following three cellular membranes:

1. Squamous epithelium of the alveoli (Alveolar membrane)
2. Endothelium of the alveolar capillaries (Capillary membrane)
3. Plasma membrane of the red blood cell (RBC membrane)

Note: The basement substance present between the alveolar epithelium and capillary endothelium is a non-cellular matrix layer and is not counted as a cellular membrane in this context.

Therefore, oxygen passes through $3$ membranes.

Answer: $3$