"There is a reason, Oskar. "I'm OK." (105)
"Ever since that day, whenever we go on walks she makes us play a game like Marco Polo, where she calls my name and I have to call back to let her know that I'm OK. "Oskar." "I'm OK." (101)
I think Oskar always answers with "I'm OK," because both he and his grandmother have been through the experience of losing someone. They understand each other's need to check on their loved ones. They both have realized that life is uncertain and can change in an instant.
This idea connects to the Loss of people you care about and safety
Saying "I'm OK" everytime his grandmother calls his name seems more of a habit to me...