First of all -- I'd like to point out that there are several BCBS companies. For example, I am now under an HMO that is part of BCBS-Massachusetts. In the past, I've also been under Anthem BCBS (a New Hampshire employer) and will be moving to Anthem BCBS this next January (change of medical plan from my employer). You most likely will be covered under BCBS of Texas, as a guess, and their website and policies may be completely different than what I have experienced.
My coverage under my BCBS HMO has been great. The only snag in the process is that one has to have a PCP who refers to a sleep specialist. After that, everything has been covered: one sleep lab visit for PSG, one sleep lab visit for titration, followup with somnodoc, referral to DME and R/T. In my case, APAP fully covered (I've seen no bills or copays or anything), masks and supplies (I'm on my original setup, so I haven't tested any of this yet).
I had one small glitch: on the BCBS website, there is a "medical policy" which lists treatment and coverage for OSA. That policy says "APAP coverage only on failure of CPAP". My somnodoc told me he was prescribing APAP, and I mentioned the policy. He said he would let the DME deal with that. When I spoke with the DME, they told me that I was fully covered for APAP. A non-issue.
So, everything has worked out fine for me, and I've only paid $40 out of pocket so far (two $20 copays for somnodoc office visits).
Ready to fight the forces of evil, right after I finish this nap...