What is the proper filter? None of them stop pollen nor dust completely. I read where some stop viruses! Do you believe your CPAP filter stops viruses?
So your room air is bad? Why not fix that first?
I would obtain and wear a recording pulseOx like the O2Ring... I wear mine every night... along with Oscar/SleepHQ it's like having a sleep lab report every morning. Tuning your PAP pressures may help if you're experiencing low O2 concentrations... most folks are given machines set to AUTO with too low a min pressure these days.
The machine is designed to give you your normal bedroom air... which presumably is already filtered by the MERV you chose for your hous. The filter on the machine is not there to prevent pollen or dust... just larger things like hair etc... you can practically see through it. Anti-bacterial filters are available from the manufacturer.. these are meant to kill stuff, not filter it, and they do restrict the machine, that's why there's a setting in the menu for them. If you are not immuno-compromised you don't need an AB filter. If you want something like a respirator or HEPA filter this is a custom thing... there are 3-D printed attachments available to adapt 3M respirator cartridges to say a Resmed 10... these are not OEM items, YMMV. The filter on the machine is there to protect the turbine from ingesting hair or dust bunnies, in other words. For #2, OEM filters are carefully chosen to avoid this... I'm using the cheap Amazon 60-pack filters and I haven't seen any fibers in the water tub.