I would think you could do the insufflation wherever is most comfortable for you.
As long as fresh ozone is entering the vagina, some of it will be absorbed into the blood by the millions of capillaries that are present. So what if some escapes? Unfortunately we all do not have a vagina. I think vag insufflation is superior to rectal insufflation because of the sheer numbers of capillaries, the treatment is not limited to a specific volume of gas, and the treatment has no particular time limit. The vagina, unlike the rectum doesn't have a sphincter attached to keep in the ozone,but it's still a great therapy.