There is no definitive Church teaching on whether it is sinful or not.
My opinion is that I don't find anything intrinsically wrong with it (i.e. it is not, in and of itself, sinful), and as long as you aren't spending an inordinate amount of money on the effort, it should be OK to pursue if your intention is pure.
Whether it is sinful or not also depends on your motivations, which I cannot judge.
For example, if you're doing it out of vanity or pride, that would be sinful. It doesn't sound to me like you are, but only you can judge.
Listening to a subliminal message isn't going to change your nose's shape. All it can do is change your attitude toward your nose, e.g., more confidence, as you say. To believe it can physically change your nose could border on the sin of superstition depending on what you believe about what causes it.
For example, if you thought there was some sort of supernatural power you were tapping into (like chi), that would be superstition.