You need to call your insurer and see if they work with any mail order suppliers. If they don't have any specific suppliers, then ask if they will reimburse you for purchases made from online suppliers and what documentation is required.
There are some online suppliers that will work with some insurers. Libertymedical.com comes to mind. I don't know anything about the quality of the company so I'm not endorsing them, but if YOUR insurance doesn't work with them it doesn't matter if they accept some insurers or not.
You should also get some other basic info from your insurer before you start ordering equipment and supplies:
What is your coverage? (100%, 80/20 if you use a preferred provider or any provider, no coverage)
Do they pay by HCPCS codes (billing codes, which means they will pay for ANY CPAP/APAP machine).
Do they require you to rent the machine perpetually, rent for a period of time (called a "capped rental") or do they cover an outright purchase.
Is a contracted provider allowed to do "balanced billing" (that is bill you for the difference between the DME's outrageous fantasy price and the contracted price they have agreed to accept from the insurer. Most states and most insurers do NOT allow balance billing).
Know exactly what machine you want (make and model) before you place an order, so that you won't get stuck with a brick. See my blogpost "What you should know BEFORE you meet your DME" so you don't get suckered.