No, any marker will run on air, infact it's much better for it because CO2 is dirty and quite unstable. Some guns ONLY run on air, like the Angel or Matrix
I think the Xtra comes with an inline regulator
If it doesn't you will need to get one. If you only had the air system and the pressure spiked, you could damage the internals
Give Planet a call, oh and say Thunder sent you
Good luck dude