Yes. Modern fighter aircraft can reach altitudes of 60,000 feet or more. At that altitude, water boils at mammalian body temperatures. You'll die no matter how efficient your lungs are. Pegasi's fast metabolism would probably only make them pass out faster.
At above 50,000 feet, humans need to wear a pressure suit as well as a mask, because even breathing pure oxygen we can't get enough to survive at ambient pressure, and our lungs are too weak to withstand more than a tiny pressure difference. However, if you can withstand the dynamic pressure at Mach 1 and sea level, you could probably breathe in a vacuum with an oyxgen mask (or under about 10 meters of water with a long snorkel).