You can use a separate sensor to track what happens at night but it has to have data capabilities. A lessor expensive one like a CMS 50D+ works well. It attaches to your finger and records what happens at night. You use a connection to a computer afterwards to pull the data off and display it. Another like a CMS 50F has a wristband which then has a finger sensor connected by a cable. Would be easier to use I think but also costs a considerable amount more.
I just got the CMS 50D+ for myself as I could not justify the cost of the CMS50F. While I could have gotten the CMS50F for less money, the shipping would have been up to a month to get to me.. Needed it sooner.
There are others out there. Some even interface with SleepyHead but you need to make sure you are getting the correct model. Sometimes newer versions of the same don't interface with SH. They key is to get one that records the data so you can look at it the next morning.
I don't think there is anything that will "connect" to your CPAP to do this. A sleep lab uses a separate sensor to get that data.