If the incoming air is uncomfortable in terms of temperature (one way or the other) it can sure be a factor in promoting insomnia.
Let's face it...if we are uncomfortable for any reason it gives the brain something to dwell on and that feeds the insomnia monster.
If you continue to have problems may I suggest that you start a new topic/thread so we can devote all our energy to your issues and you can get more and better help from the members.
You have what is called sleep onset insomnia. Common enough for people on cpap sometimes when the brain just goes into hyper drive and won't let us fall asleep.
You mention depression....are you taking meds for the depression? If you are some meds have side effects that can cause sleep onset insomnia to worsen. I strongly urge you to talk to your doctor about your inability to fall asleep with the mask and machine on.
Trying a heating hose though....definitely worth doing if you find the air going up the nose uncomfortably cold.
I call it ice cube nose syndrome.....it can make insomnia worse if we aren't comfortable.