I don't think oxygen supplement can replace the mask. Sleep apnea is not that you can't get enough oxygen from the air, it's the close of your airway from time to time. Even if you're supplied with medical oxygen, when your airway is closed, there's no way you can get the oxygen. The purpose of the mask, CPAP, is an airway pressure device, it targets to keep your airway open.
Both CPAP and BPAP are masks.
There are oral appliances non-mask to keep your throat open, like this:
It technically works by moving the jaw forward, which increases the size of the upper airway, thus reducing the air resistance that leads to sleep apnea and snoring.
Brands include Somnodent, SilentNite, and of course others. Cost can vary from $1,200 - $3,000.