It's fine enough to where it makes you cough when you sniff it? Hmm. Just take them orally on an empty stomach a few hours after a fatty meal. It will work better than intranasally. Whatever inactive ingredients are inside, they are of the preservative type, and as the capsule is not designated for intranasal use of the powder inside, you can't expect the manufacturers to have made it harmless to snort. I mean, even if it was pure oxycodone powder, there still is not enough evidence to prove its at the nonexistant level of acute harm as ingestion. Your nose, after all, is meant for breathing air, a pre-filter to your lungs, the bodys big de-facto filter, and you wouldn't want to throw a wrench in it's gears.
Don't get me wrong, the amount of powders passed through my nose are so many in count that I can't possibly list them all. With something like hydromorphone or oxymorphone where the bioavailability is to the order of 4x-10x that of ingestion, I wouldn't hesitate to sniff away all the fillers and active ingredient combined. As it's a cost effective measure and if I was back in that place of needing relief, I wouldn't hesitate to do so. However with something like oxycodone, where a bit of research and extremely light modifications to ones diet around the period of ingestion, one can get not just an identical but actually more potent effect through oral ingestion, there simply is no reason to sniff these capsules and do your body more harm than good.
In a way,I suspect they are designed with the very fine powder or whatever filler makes you choke when sniffing them, as an anti abuse measure.
What I would do if you are dead set on intranasal of some sort, is, take a small oral syringe(plug the bottom with your finger even if it has a cap). Add 0.5 or so ml water (you can go higher, but lower than 0.5 seems that too much of the active ingredient gets trapped in the syringe after it's been emptied). Dump your alloted amount into the back of the oral syringe (you can do this by pulling out the plunger). Put the plunger back on to where it seals the chamber, flip it right side up and give it a quick shake or two. Now push the plunger to the point where its only liquid with some air , tilt your head back and clear your nasal passageways, and blast it down one of your nostrils while gently inhaling. Optimally, you want the liquid to sit inside your nasal passageways for at least a minute or two before you feel a "drip" so you want to keep your head tilted back.
This is the extreme junkies strategy, where a few itches are scratched in one fell swoop. I would recommend you just orally ingest them.