I had that happen to me years ago. I thought "it must be the gauge!" Drove it for a while, and melted the engine.
I'd screw another gauge into the block to test it, or take it to a gas station service bay which should have one.
For a quick and (very) dirty test, just unscrew the sender, crank the engine, and see if oil shoots out the hole. But I suggest the alternate gauge test.