With regard to asthma being related to OSA - it is true that they both involve narrowed airways. However, asthma (as I understand it - this is not my field) involves a narrowing of the bronchioles which are small tubes that spread out throughout your lungs connecting the alveoli to the trachea. OSA is a collapse of the airway at the back of your throat, a completely different part of your airway. Therefore I doubt that they are directly connected. However, because both hinder your breathing, it would seem possible that they could interact. For example, if your asthma was narrowing your bronchioles due to some environmental cause (like pollen), then you add OSA on top your oxygen levels could start lower and drop lower. This may also cause an increased arousal response. In short, the symptoms of your your OSA would get worse. This doesn't mean that the 2 are connected, they just affect the same area.
I can also confirm that there is no surgical procedure demonstrated repeatedly effective for the treatment of OSA. While there are plenty of doctors who will perform surgery for OSA, there is not a surgery which is officially approved as an effective treatment. In all of the cases of surgery which I have seen or heard about, there is a very low rate of success, and those surgeries which are successful often only reduced the severity of OSA, eg from an AHI of 100 to 50, which is still a big problem. Also, if they are successful to any degree, there is a high chance of surgeries reverting so that you wind up as bad as or worse than before. Add to this the fact that most surgeries are very painful, have a long post-operative recovery time and have a high rate of post-operative infection, and the picture is pretty bleak. every doctor I know (including all the good ones) won't touch surgery with a barge pole for the reasons given above. As stated before, I am not a doctor, and medical science changes rapidly, so an effective surgery may be developed. Just be very wary if your doctor starts talking surgery because they often don't mention, or just plain don't know, the things I wrote above. Do your research and know exactly what you are getting into.
In relation to your question about exercise mdavis, I concur that you should start with CPAP. It will only help increase your ability to exercise. If you can lose weight and thus cure your OSA you can stop the CPAP. Also, it is very likely that you can rent a machine in the short term (we do that where I work).