Hi, Rosie. Thanks for the post.
I am a past Respiratory Therapist's non-active now but understand the Continuous Positive airway pressure(CPAP) process. I have not dealt with the issue of bags developing under the eyes due to the CPAP mask. I will due some research and get back to you.
Some suggestions now would be check with the beauty/make-up site. The make-up site may have some tips for different creams, skin lotions or other ways for helping with bags under the eyes. I also heard a TV advertisement for bags under the eyes from Macy's. The ad talked about ways to remove bags/circles under the eyes.
You might try wearing a sleep shade mask over the eyes large enough to fit just under the front part of the CPAP mask providing a flat surface that may help with the pressure of the mask on your skin and protect the eyes from the blowing air from the mask.
Hope this helps. I will post any other information I locate after researching the topic.