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I believe the circuit is alternating current produced by the exciter coil. The bulb works on ac volts. Still, it should have some continuity so I think it being "open" means it's no good.
But you can try taking the yellow wire off of the oil pressure switch and running the engine. If the circuit and bulb are ok the lamp will light up.
If it does, then you may have a larger problem. If the lamp lights up with the wire disconnected at the switch, it's possible that you don't have oil pressure.
But I don't think it will light since it's open.
You can also unplug the lamp and check the volts coming to it from the harness. Again, it's ac volts so set your meter accordingly. The voltage is generated by the exciter coil under the flywheel and should rise as the rpm's increase.
I have thought about using an electric sprinkler controller to apply 24vac to that bulb as a test but haven't gotten around to trying that yet.
Good luck