First of all, it's a "compression" check. The density of the air has no
effect on what the reading will be because the piston will just keep
increasing the psi until it leaks past the rings or valve seats or whatever.
It will pump it up to the same value regardless of the difference in
altitude. It may take more revolutions to reach that value but it will hold
the same regardless.
The real question concerns the gauge, weather or not that reading is
relative. In other words, is it calibrated to read accurately at sea level.
I'd guess it probably is so...
Ah.. Paul brings up a good point.