(abridged) In this paper, we examined XMM Newton EPIC spectra of 14 ultra-luminous X-ray sources (ULXs)in addition to the XMM RGS spectra of two sources (Holmberg II X-1 and Holmberg IX X-1). We determined oxygen and iron abundances of the host galaxys interstellar medium (ISM) using K-shell (O) and L-shell (Fe) X-ray photo-ionization edges towards these ULXs. We found that the oxygen abundances closely matched recent solar abundances for all of our sources, implying that ULXs live in similar local environments despite the wide range of galaxy host properties. Also, we compare the X-ray hydrogen column densities (n_H) for 8 ULX sources with column densities obtained from radio H I observations. The X-ray model n_H values are in good agreement with the H I n_H values, implying that the hydrogen absorption towards the ULXs is not local to the source (with the exception of the source M81 XMM1). In order to obtain the column density and abundance values, we fit the X-ray spectra of the ULXs with a combined power law and one of several accretion disk models. We tested the abundances obtained from the XSPEC models bbody, diskbb, grad, and diskpn along with a power law, finding that the abundances were independent of the thermal model used. We comment on the physical implications of these different model fits. We also note that very deep observations allow a breaking of the degeneracy noted by Stobbart et al. (2006) favoring a high mass solution for the absorbed grad + power law model.