Learn Polish: Przy okazji kup chleb. - While you are at it, buy some bread.

Yes, it does! In spoken Polish, przy okazji is frequently used to add a passing thought, just like "by the way." However, its literal meaning is closer to "at the opportunity." In this sentence, it translates to "while you're at it" because the speaker is telling the person to take advantage of an opportunity (like already being out of the house or at the store).

I thought okazja meant a "bargain" or a "sale"?

It often does! If you see okazja on a shop window, it definitely means a "bargain" or "good deal." But its core meaning is "opportunity" or "occasion." The phrase przy okazji uses this core meaning, referring to the "opportunity" you have while doing something else.

Why use kup instead of kupuj?

Kup is the perfective command, while kupuj is imperfective. You use kup here because you are asking for a single, completed action: buy the bread and bring it home. You would use kupuj for continuous or habitual actions, like telling someone to "keep buying" a specific brand of bread.

Why doesn't the word chleb change its ending since it's the direct object?

It is actually in the accusative case here, but it doesn't look any different. Chleb is an inanimate masculine noun. For these nouns, the accusative case form is exactly the same as the basic nominative (dictionary) form, which often tricks learners into thinking the case hasn't changed.