Had medical diagnosis delayed with diagnoses of depression. Doing much better with cpap treatment for apnea. Why do doctors jump to depression diagn?

They are related. Sleep apnea patients are often depressed, and depressed patients often have sleep disorders, including insomnia, hypersomnia, and sleep apnea. So the depression in a sleep apnea patient may be diagnosed separately. With thorough sleep questionnaires, physical examination and mental health assessment, a complete diagnosis will be reached.
Good point. Many psychiatrists are now routinely screening for obstructive sleep apnea in patients who present with depression, because sleep apnea can cause all the symptoms. Sometimes it takes a while for good practice to spread through the community.