Phase margin is a parameter of the open loop characteristic of a feedback system. After you close the loop the sytem will form another transfer characteristic, the closed loop transfer function, which can has complex conjugate poles. See phase margin as a relation between the closed loop transfer function's complex conjugate poles and the open loop characteristic.
Another important thing if the pahse margin is lower than 0° (of the open loop charateristic) the closed loop's complex conjugate poles will appear on the right half plane with positive sign. This is also equivalent with oscillation or unstability.