Without further context, I'm guessing that the narrator is speaking/writing to someone who is a doctor. The snippet feels very much like a natural thought-process; he is remembering back to how he was thinking and feeling at the time, and writing it down. Therefore I'd guess that style here is that the sentence is being written as it would be spoken, and in speech we often interject thoughts into the middle of sentences. To punctuate it more clearly:
a peculiar exhaustion—I am so oppressed, doctor!—set in;
So as far as I can tell, "I am so oppressed, doctor" is meant to be a separate interjection; regarding everything he has already mentioned, he is commenting that he feels oppressed by it all (after which the rest of the sentence is to be read as if there had been no interruption, at which point it makes perfect grammatical sense). I would further guess that the atypical punctuation (because you're right, if you try to just read it as one sentence straight though, it is nonsense) is a matter of style. Sometimes authors use "improper" punctuation to make sentences flow together in a certain way. Sometimes to keep up the tension of a scene, or sometimes (as in this case) to maintain the flow-of-thoughts feel of the narrative, etc.