Your problem doesn't have anything to do with oxygen. It's because you stop breathing that you don't get enough room air into your body. Your CPAP machine takes care of these obstructions, and as long as you're using it, you should be fine. It sounds like you may need constant fresh air ventilation.
My CPAP works fine. Keeping window open and fan on when it is cold outside is making me ill, but I do it so I can sleep. Perhaps I need oxygen???
Your situation is a little unusual, but if keeping your window open or using a fan keeps you feeling better, then as long as there's no harm, keep doing it. Is your CPAP working? Are all your compliance data at optimal levels?