I had basically the same thought. I don't sleep well now and I didn't then.

However, it turns out they don't need much data. The night they did my first sleep study, I woke up a number of times in the double digits in an amount of time that was so annoying to them that they gave up and sent me home early. They were still able to affect a diagnosis (and back it up with quantifiable data, lest you think them fakers). A full night of sleep is helpful to them to do things like verify your symptoms, but it seems not that much is needed.

Also, as others have said, you can do an at home study. I did one of those as well (later) and it was just a finger sensor (basically a pulse oximeter) and a sticky pad you put on your chest (which does kinda suck if you have chest hair but isn't unpleasant or cumbersome otherwise). I trust that test less, but in case you feel you have sleep apnea, it's less weird and just as likely to get you the equipment you need.

Lots of people describe their CPAP as life changing and I believe them. For me I wouldn't call it life changing in the traditional sense, but I would describe it as beneficial enough that I recommend one. Even if it were 100% psychosomatic, I would say it helps enough that it's improved my sleep. I recommend a test to you. Worst case scenario, it's one unpleasant night to find where you stand. Best case scenario, it really is life changing (and hopefully for the better)! If you have questions, while I'm in no way even remotely an expert, I have been through it and would be happy to answer any to the best of my knowledge.

Please take care of yourself if you can. Your health is worth it.