You might consider wrapping the cannula in gauze or cotton to relieve the irritation.
I don't know if these are even available now but in my day (several years ago) in Resp. Therapy we had a cannula that was held in place with a small elastic that wen around the back of the head. As I recall they were pink in color ... you might ck. on the internet with various med. supply companies.
Good Luck in your search.
Several thoughts here:
Salter has EZwrap (foam pieces) available on the cannulas (these are little foam pieces on the cannula which make it slightly less irritating for the ears). You can ask your O2 supplier about these. http://www.salterlabs.com/documents/SLC-71.pdf
Salter also makes the Care Comfort Head Cannula, which is the one that has a headband and does NOT rest on your ears. You can ask your O2 provider about that one as well. http://www.salterlabs.com/documents/SLC-06.pdf
OxyView glasses are an alternative to the traditional cannula, whether or not the patient needs prescription classes. http://www.oxyview.com/ has more info & prices. The lenses can be inserted by your optometrist.
Another option that can be tried is the OxyArm, which doesn't even go in the nose & is worn like a telephone headset. http://www.oxyarm.com/ourProducts_oxyarm.shtml
You & your husband can ask his O2 provider about all of these products. My O2 supplier (Lincare in Denver) has always been willing to provide any Salter product at no additional cost to me. I've read folks saying how much they enjoy the OxyArm, tho I have never tried it yet myself. Your O2 provider and your husband's lung doc may have additional useful suggestions.
I remember something like you are describing however. those are so similar to what athletes wear to hold their eye glasses on. Now the ones with feed through loops may not work as well, because of enclosed area of the cannula, but some come with loops that snap closed.
Of course there is simple elastic or those bands used to draw blood can be improvised for patent comfort needs
Salter's Head Comfort Cannula does have the headband to hold the cannula in place. The OxyArm doesn't even touch your ears, and works well for some patients. I've heard nothing but praise for the OxyView glasses as well.
A related discussion, oxygen cannula discomfort