If you need to use oxygen therapy in conjunction with your CPAP machine, you can easily use both at home at the same time. Your doctor will determine if you need to use a CPAP machine if you have moderate to severe OSA, or Obstructive Sleep Apnea. If you have a lung disease that decreases the amount of oxygen you're able to take in, you might also need to use oxygen therapy while you sleep.
Some oxygen therapy patients have been curious as to how a CPAP machine would work at the same time with an oxygen concentrator, to deliver oxygen therapy as well as treat sleep apnea. The answer to this question is very straightforward.