Is breathing supposed to hurt after using a cpap machine all night?

No. Does you machine provide humidified air--if not, you may need a change of machine or up the humidity percent to see if this helps.
It can. This may be related to hyper-inflation of the lungs. The pressure setting on the CPAP machine should be checked or verified.

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Hello and thanks. I have been diagnosed with severe sleep apnea...I stop breathing 47 times a night. Is there any other cure other than a cpap machine?

Treat causes: With osa, weight loss, exercise, and certain surgical procedures can often times be quite effective (uppp, somnoplasty, septoplasty) reducing the severity of your sleep apnea. In mild to moderate cases, a custom oral appliance can be fabricated for you in lieu of cpap. You have indicated though that you have been diagnosed with severe sleep apnea, so CPAP is definitely the gold standard.
Yes. There are multiple surgeries and dental intraoral appliances. You need to arrange an overnight sleep study to ascertain where you physical problem is and then the md can treat that particular area.
Oral Appliance. An alternative to CPAP is an oral appliance for those that can't or won't wear the cpap. Not all dentists are trained in this, so seek a dentist with experience.

Sleep study just revealed I have: moderate sleep fragmentation, leg movement, mild apnea, and sleep disordered breathing (hypopnea). Can this be treated? Nurse said a cpap machine wouldn't help me, but referring to respirology. Anything I can take (supp

Check iron. Low iron levels can lead to restless legs during sleep. Have your doctor check your ferritin level, this is the best test for iron stores in your body. If it is not above 50 take an iron supplement until you see the specialist.
See a Sleep MD. It depends on your actual sleep study. I would have it reviewed with a sleep physician. Sometimes patients with mild apnea and significant daytime symptoms do benefit from cpap. Also, depending on the significance of the leg movements, getting that taken care of will help as well.
CPAP works. CPAP or an oral appliance alternative can often help, but the leg movement is likely what your nurse was referring to when saying CPAP won't help. CPAP is the "gold standard", but an oral appliance from a sleep dentist is perfect for mild and moderate obstructive sleep apnea.
I disagree. CPAP would potentially tx all of these symptoms. Sleep disordered breathing includes hypopneas as well as apneas so if your ahi is > 5, a CPAP would be indicated. Plm's during a sleep study have been shown to improve with CPAP use and generally osa in and of itself can cause sleep fragmentation given the frequent arousals associated with resp events. Speak w/ sleep specialist instead of nurse.