Is Hemoglobin binding to oxygen the same as Adsorption
From the Wikipedia article you cite the answer to your question is clearly NO. They seem very different: absorption is described as a surface phenomenon, whereas oxygen binding occurs in a single internal pocket in each globin subunit and forms a specific bond to an Fe(II) atom. The chemical nature of this pocket is quite different from that of the surface of the protein.

The Wikipedia article states:


  Adsorption is the adhesion of atoms, ions, or molecules from a gas, liquid, or dissolved solid to a surface.[1] This process creates a film of the adsorbate on the surface of the adsorbent. 


and


  Similar to surface tension, adsorption is a consequence of surface energy. In a bulk material, all the bonding requirements (be they ionic, covalent, or metallic) of the constituent atoms of the material are filled by other atoms in the material. However, atoms on the surface of the adsorbent are not wholly surrounded by other adsorbent atoms and therefore can attract adsorbates. 


However if you consult a text-book which describes the biochemistry of haemoglobin, such as Berg et al. you will find the specific chemical nature of the binding clearly described, as indicated by this extract:


  The iron atom lies in the center of the protoporphyrin, bonded to the four pyrrole nitrogen atoms. Under normal conditions, the iron is in the ferrous (Fe2+) oxidation state. The iron ion can form two additional bonds, one on each side of the heme plane. These binding sites are called the fifth and sixth coordination sites. In hemoglobin, the fifth coordination site is occupied by the imidazole ring of a histidine residue from the protein. In deoxyhemoglobin, the sixth coordination site remains unoccupied...The binding of the oxygen molecule at the sixth coordination site of the iron ion substantially rearranges the electrons within the iron so that the ion becomes effectively smaller, allowing it to move into the plane of the porphyrin (Figure 10.19).


The only similarity I can see is that in both processes the interaction of the gas with the material to which it binds is controlled by the pressure of the gas. However in the case of haemoglobin there is a distinct difference from absorption in that the dependency on pressure exhibits a sigmoidal curve, specifically suiting it for the role of quantitative delivery of oxygen to the tissues at a particular small reduced pressure range.

You sound as if you come from the physical sciences. If so, prepare to be surprised at how smart a chemist Mother Nature is.