Yes, there was a big capsaicin craze a while back. I can only say that I have never actually heard of anyone who found that the relief was close to being worth the discomfort. Even though CH treatments haven't progressed nearly as fast as they should have, I think a lot of the strategies--virtually all developed by people with CH, not by the medical profession--have made it less necessary to resort to crazy s--t to deal with CH. Those strategies would include effective high-flow oxygen, energy shots/drinks, and the D3 regimen, as well as melatonin for some, and other awarenesses, such as staying away from MSG, which is a big trigger for many people, and of course busting. (Speaking of MSG, lately there have been a couple of people here who have reported substantial benefit from a low-histamine diet.)
Your O2 situation is unfathomable to me. Someone better informed than me might be able to figure it out. You do have tanks of oxygen, right, and not a machine that makes oxygen from room air? Why would they give you a mask with a hose that only let 4 lpm through? You want to get a decent mask quick. If you don't order the "ClusterO2 kit" mask right away, just go to amazon and order one non-rebreather mask. If you have Prime (or if you pay a little extra) you'll get it in a couple of days. Or for that matter, demand that Apria give you a non-rebreather mask with proper tubing, for God's sake. That's their freaking job, which you are paying them for. I'm not sure how much I would rely on your delivery guy for help and advice -- Apria ought to have some kind of respiratory specialist on staff who knows something, or is willing to learn something. I'm not sure I really like your neurologist, either, if you have described any of this mess to him and he hasn't corrected you, or stepped in to correct the situation. Speaking of your neurologist, are you taking any kind of preventive -- typically, that would be verapamil. Of course, I don't know how the classic CH meds interact with your MS or other conditions you might have, but typically the first-line pharma response to CH is (or should be) oxygen as an abortive, verap as a preventive, and injected sumatriptan (Imitrex) as a backup abortive. A steroid taper helps some people.
It's generally believed that one needs to do the full D3 regimen, as listed in that file I linked you to. Don't do only the D3. There's something about absorption and secretion that's affected by the other elements.
You understand that whatever I say here is just my observations, although they are observations based on having read well over 10,000 posts here over the past however many years it is, and participating some at other boards. With anti-depressants, there always seem to me to be a roughly equal mix of "helped me," "no effect," and "made it worse." That's actually true for lots of things, all kinds of meds. People often say that CH is so tricky that way, that something that works for one person won't work for another, but I have to say that I also attribute it to the perfectly understanding hypervigilance of people with CH and the unpredictability of the damn attacks themselves, so there's a lot of attribution of effects that is real for the person saying it but not necessarily more than anecdotal information. Oxygen, on the other hand, works in more than 90% of cases when it's done properly, and I would give the same success rate for Imitrex, and darn close to it (at least in terms of reducing attack severity and frequency) for D3 as a preventive and energy beverages as abortives. I'd say busting might be 75% effective (or at least it can take some time to find the right busting substance), and verapamil is pretty darn effective although high doses can have substantial side effects. Unless I'm forgetting something, in my view the rest is pretty much a crap shoot -- indeed some things work for some people and some for others. And with these you're getting into pretty substantial side effects, too: lithium, gabapentin, topamax . . .
Two last thoughts: (1) A few people here have said that putting their feet into a bathtub with very hot water in it helps them abort their attacks; and (2) As much as I hope you stick around here, you should know of two other places where you can get good information and advice. One is www.clusterheadaches.com, where meds and non-busting alternative treatments get discussed pretty well, and the other is the Facebook group, Cluster Headaches. That's a closed group, so you have to request to join, but we can probably help you if that process is slow. I'm not very fond of the Cluster Headaches group, because in my view there's a lot of opinion being presented there as sound advice, but the people are generally very very good-hearted and there's a lot of really nice emotional support. Both here and at clusterheadaches.com, the search bar at the top of the page can lead you to some interesting stuff. (As you've noticed, this site is pretty empty these days. Seems like most folks have migrated to Facebook.)