When you say "not able to use CPAP" can you be more specific? What was it about CPAP that you couldn't do? There are some who really can't, but usually when people say that they mean they didn't like it, or didn't feel comfortable, or couldn't get used to it. or the mask bothered them or leaked, or they were claustrophobic, or the pressure was too low to breathe, or the pressure was too high and felt awful, or - well you get the message. Many have problems adjusting, and if you happen to not have the support and guidance needed to succeed, it's no surprise you're looking for other solutions.
Severe OSA puts you at high risk of many health issues. At least use the CPAP until you can figure out what else you want to do. There are surgeries, but they are painful and all surgery has risks, and with severe OSA, one risk you'd run is going through the surgery and finding out you STILL need CPAP. If your apnea was mild I'd suggest thinking about a dental device, but with severe OSA, CPAP may very well be the only treatment proven to effectively treat your degree of OSA. As for the headaches - could be your oxygen starved brain causing them. Sorry to not give you the answer you want, but I'm more concerned about giving the answer you need. Treat your apnea NOW, think about other options later. This is not something to wait around to decide.