Genius! Converting the Hydrogen atom in an Oxygen atom means that we are destroying the Hydrogen atom, and creating an Oxygen atom. But, Dalton's theory doesn't allow that.
Let us understand atoms in an other way. You have a book. It is made up of lots of pages. The pages are made up of lines. The lines are made up of words. The words are made up of letters like a, b, c, etc.. And, that's it!

The letters are not made up of anything else. They are the fundamental units that, combined together, give us words, which give us lines, pages, etc. Just like different letters make up books, Dalton's theory said that different atoms make up all matter.