Now you can read an O2-sensor like this

controller1.O2Sensors[1].Read();

Now you can read information like this

controller1.ReadFirmwareVersion();
controller1.O2Sensors[1].Read();

There is not need to have a SendCommand in there.

There is no need to have a SendCommand in there.

UPDATE

Here is my suggestion for a controller class

public class Controller
{
    private const int ReadFirmwareVersionCmd = 71;
    private const int PassThroughCommandCmd = 200;

    private int _controllerNumber;

    public Controller(int controllerNumber)
    {
        _controllerNumber = controllerNumber;
        O2Sensors = new List<O2Sensor>();
    }

    public List<O2Sensor> O2Sensors { get; private set; }

    private void SendControllerCommand(int controllerCommand)
    {
        Controller.SendCan(8, _controllerNumber, controllerCommand);
    }

    public void SendSensorCommand(int sensorType, int sensorNo, int sensorCommand)
    {
        Controller.SendCan(8, _controllerNumber, PassThroughCommandCmd, sensorType, sensorNo, sensorCommand);
    }

    private static void SendCan(int deviceType, int deviceNo, int commandNo)
    {
        // ...
    }

    private static void SendCan(int deviceType, int deviceNo, int commandNo,
                                int sensorType, int sensorNo, int sensorCommand)
    {
        // ...
    }

    public void ReadFirmwareVersion( )
    {
        SendControllerCommand(ReadFirmwareVersionCmd);
    }
}

I would derive all the sensor types from a common base

public abstract class SensorBase
{
    protected Controller _controller;
    protected int _sensorNo;

    public SensorBase(Controller controller, int sensorNo)
    {
        _controller = controller;
        _sensorNo = sensorNo;
    }

    public abstract void Read();
}

An O2-sensor as an example for a sensor

public class O2Sensor : SensorBase
{
    public O2Sensor(Controller controller, int sensorNo)
        : base(controller, sensorNo)
    {
    }

    public override void Read()
    {
        _controller.SendSensorCommand(16, _sensorNo, 0);
    }
}

You can initialize a controller like this

var controller1 = new Controller(1);
controller1.O2Sensors.Add(new O2Sensor(controller1, 1));
controller1.O2Sensors.Add(new O2Sensor(controller1, 2));

Now you can read an O2-sensor like this

controller1.O2Sensors[1].Read();