If it feels uncomfortable then you must tell the therapist, you cannot enjoy your massage if you are not comfortable!
I do like to have my clients with their head "in the hole" whilst I massage their back and neck as it keeps everything aligned, but once I move away from the area I tell them they can put their head to whichever side is comfortable if they prefer.
I also place either a small pillow or folded towel on the top end of the hole to rest their forehead on, this means your head is not squashed down the hole, but that you can still breathe and be straight.
Another option is to ask whether they have a face cradle instead of face hole - some tables have both. The face cradle fits at the end of the table and is not so claustophobic.
Please do speak to your therapist and see if you can both come up with a practical solution!
Karen x