This is not a normal side-effect and it is indicative of two issues: either the pressure level on your machine is set too high and needs reducing, or you have blocked sinuses that are obstructing the airflow of the CPAP naturally.
As your sinuses actually wrap around your head and right behind your ears (they’re not just in your nostrils!), if your nose is blocked and you’re using a CPAP, you accidentally create a difference in pressure between your different sinus cavities.
Basically, if you’ve got a cold and you’re waking up with a headache after a night of using your CPAP, then that’s probably why. If not, try turning down the pressure settings on your machine and seeing if that solves the problem.
If you aren’t lucky enough to have a heated CPAP machine with an integrated humidifier, it could be worth investing in one, as these are fantastic for ensuring your sinuses stay wide open throughout your entire sleep, leaving you with no headache.
When you’ve tried all of the above to no avail, it could be worth a visit to your Ear, Nose and Throat specialist, as they will be able to conduct a series of tests to determine what the pain you’re experiencing is caused by.