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Respectively there is no reason to bleed the air from an oil pressure gauge. It will make no difference in the reading whatsoever as the air will compress and be at the same pressure as the oil and the reading will be the same. Even if you do manage bleed it once the oil drains back when you shut the engine down the line will get air in it again. There is no way to keep air out of a dead ended connection such as an oil pressure gauge.
jb