For 1989, the O2 sensor is probably mounted on the cat itself high up on the inboard side, not in the header. There's a test port in the header, which should have a plain bolt plugging it. Test port is fairly easy to eyeball with the car on the ground. O2 sensor would be nearly impossible to spot.

If the sensor fell out, you'd have a noticeably obnoxious exhaust leak. If the sensor got sheared off by some sort of impact, the rest of your exhaust would probably have serious damage as well.

If you follow the O2 sensor wires from the connectors on the pass side firewall down under the car, what do they lead to?

Can you take a picture of what you're looking at? I have my 1989 245 sitting out back, I can take pics of its current setup (aftermarket header and cat) and the earlier setup which I think was OE (still leaned up against the fence waiting for disposal) so you can compare if necessary!

John