If you have claustrophobia, then the best CPAP mask is the nasal pillow mask. The nasal pillows fit into your nostril openings (nares) to supply the air pressure. The nasal pillow mask only covers your nares, making it ideal for someone with claustrophobia, as you do not want something constraining your whole face.
Less ideal for claustrophobia is the nasal mask, which covers your entire nose. The worst CPAP mask for claustrophobia is the full-face mask, as it covers a large portion of your face (the nose and mouth).