It means the oxygen has been removed from the air to reduce chemical reactions with the inside of the tire. Costco famously uses nothing but nitrogen. Nitrogen is produced by cooling air to liquify it, forming separate layers of pure nitrogen and oxygen. Not something that can be done in a store so nitrogen must be delivered in high pressure tanks. However, the Costco I go to has a large compressor in the back of the tire shop - I wonder what it is for.
Some say the main advantage is that the nitrogen gas has a very low moisture content.
Much more here: http://www.tirerack.com/tires/tiretech/techpage.jsp?techid=191&affiliate=IT2&s_kwcid=AL!3756!3!67192535288!b!!g!!_cat:tires&ef_id=ViZl0wAABG0LmA8c:20161101003739:s
