I'm in US and took both a home test and overnight polysomnogram. Both were fully covered my by insurance. My current insurance is definitely not top of the line either
They're pretty damn expensive in the UK, certainly - around £2500 a couple of years ago in central London. (It would have been much cheaper for me to just buy a CPAP and try it out, than to have a polysomnography, but it's notionally forbidden.)
I went to a sleep specialist once and the cost of a full overnight polysomnogram was nearly $3000.
I opted for a much cheaper at home test from my GP. Showed no signs of sleep apnea but I worry about the accuracy compared to a full study.