Do you know why you were denied? Sometimes your doctor can make an appeal on your behalf and the decision will be reversed, although the circumstances are very much case by case. Generally, if you have 40+ BMI, or 35+ and you mentioned having sleep apnea and high blood pressure, you would be considered a good candidate.
In the meantime, I'd like to recommend you check out Dr. Weiner's Pound of Cure videos and podcast, plus there's a book by the same name. I found these resources back in the summer and I started implementing the suggestions slowly and have seen some promising results. Not WLS level results, but I'm down about 15 pounds and my labs were so much better in just 6 months for things like cholesterol and to a lesser extent blood sugar. I really can't say enough good things about Dr. Weiner, honestly. And they're all the type of lifestyle changes you'll need to consider anyway for your best shot at longterm success. Think of it as training for when (not if!) you have the surgery.
But keep at it with the insurance. Some of them have a lot of hoops to jump through and it feels impossible but if you don't give up, you might make it happen.