We should be thankful that god provides us all with air to breathe.

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. If someone crossed him he took away their air privileges and they suffocated, presumably because they knew they should not breath air which did not belong to them.

I have seen this in other places too.

"We should be thankful to god for providing us with food, shelter, safety (and air).

An abusive husband might say...

"You should be thankful to me for letting you talk to your friends after after what you did yesterday."

An abused wife might believe this saying...

"I am lucky my husband let me talk to you after I disappointed him yesterday."

Is this a fallacy?

That really isn't an argument; it's more of a statement of faith. Let's take religion out of it and use the example:

"I am lucky my husband let me talk to you after I disappointed him yesterday."

While still not an argument, it does demonstrate flawed reasoning characterized by and unhealthy psychological state as well as strong emotion... in this case, perhaps a lack of self-respect and fear. I think this is categorically different from the God example because of the "faith" element that is unfalsifiable (that God gave us air). Interestingly, in the Diagnostic Statistical Manual (DSM-5) there are several disorders that have religious exceptions. Like the saying goes, one man talking to an invisible friend is crazy, when many people do it, it's religion. :)

Argumentum Ad Baculum

To cut Bo’s comment to the chase, the point is, there is no logical fallacy here; merely an opinion, however disagreeable to some/many.