Supplemental oxygen has been shown to relieve some symptoms of sleep apnea for some people, such as oxygen desaturation and depression. However, oxygen therapy may also cause complications for people with sleep apnea, such as increasing the duration of lapses in breathing during sleep. Lengthened sleep apnea events can in turn lead to an increase in carbon dioxide in the bloodstream.
If you have sleep apnea and your doctor believes you would benefit from oxygen therapy, they have likely determined that the benefits of supplemental oxygen outweigh the potential adverse effects in your situation.