The problem with using a Normally Closed switch in your circuit that causes the light to go out when you have pressure is that you can burn out a bulb and not have an indication.
The SPDT switch like David suggested is a good idea. The contact arrangement is also called a 'Form-C' style contact. Wire a red light to the Normally Closed contact and a green light to the Normally Open contact. One of the two lamps will always be on. If both go out, there is a problem with the circuit or one of the lamps is bad.
Otherwise, if you can only get a switch with a single contact, get a normally open contact that closes on rising pressure, and wire up a Green light to the switch. The light will be off when cold, but will come one when warmed up with pressure i.e. On = Green = Okay, Off = low pressure or bad bulb.
If you have to use a Normally Closed contact, use a bright LED instead of a conventional lamp for reliability.