Background: Obstructive sleep apnoea (OSA) has an important impact on the risk of morbidity and mortality, so we have designed the present study to understand which factor is most involved in the risk of developing a comorbidity between OSA severity and nocturnal hypoxemia. Methods: A retrospective study was conducted on 617 adult subjects who were referred to our unit for a suspicion of OSA between January 2018 and January 2020. Results: Sleep investigations performed by participants (72% male and obese in 70% of cases) reported an overall mean apnoea–hypopnoea index (AHI) of 44.0 ± 24.8 events·h−1. Overall, 66% were classified as severe OSA and 76% experienced nocturnal hypoxemia. By analysing the burden of OSA severity and nocturnal hypoxemia on the comorbidities risk, multivariate analysis highlighted the predominant role of age and obesity. Accordingly, after the exclusion of the older and obese participants from the analyses, we noticed that severe OSA was related to the risk of hypertension (odds ratio (OR) = 3.0 [95% confidence interval [CI] 1.4–6.2], p = 0.004) as well as nocturnal hypoxemia (OR = 2.6 [95% CI 1.2–5.4], p = 0.01). Conclusions: The study seems to suggest that in young, non-obese subjects, OSA is a predisposing factor for the risk of developing hypertension.