Do you need a pulse in order for pulse oximeter to work?

Not necessarily. Even after circulation ceases, there is still some oxygen attached to the hemoglobin in blood. So, even though blood is not circulating, there are still oxygen molecules where a pulse oximeter would be taken (i.e. finger). Hence why fingernails continue to grow after death (keratin cells in the nail beds don't require much oxygen to function, thus taking longer to use up what's left in the hemoglobin).

What you need to realize though is that a pulse oximeter works based mainly on skin coloration. Skin that has good circulation is pink and warm, delivering fresh oxygen and removing cellular waste. Without a pulse, the skin begins to turn cyanotic - that's the bluish tint a person gets when they're not breathing, thus a lack of oxygen to the cells.

Why in Hades you'd want to pulse-ox a non-circulating body is a little strange...