Practice using your mask while you're awake. First, just hold it up to your face without any of the other parts. Once you're comfortable with that, try wearing the mask with the straps.
Next, try holding the mask with the attached hose on your face, without using the straps. Turn on the CPAP machine, perhaps with the ramp feature turned on. Next, do this using the straps too. Finally, try sleeping with the mask and machine on.
Relaxation exercises, such as progressive muscle relaxation, may help reduce anxiety related to CPAP use.
If you're still feeling claustrophobic, talk to your doctor or CPAP supplier. It may help to get a different size mask or try a different style, such as one that uses nasal pillows.