Wouldnt less dense oil have greater volume causing higher pressure?

No. Tracerbullet nailed it perfectly -- excellent job!

As the oil gets hot, it gets thinner, that is, less viscous, and thus is more easily able to escape around the crankshaft bearings and back into the sump, causing the oil pressure to drop. Remember that at a given engine RPM, the oil pump will deliver a fixed volume (not weight) of oil to the bearings. The more that escapes, the less pressure you are going to end up with.

tanstaafl.