Compensation for private helth care and phisiotherapy

I would like to know if the insurance agency has right to reject to pay for my phisiotherapy ifdue to the fact that I would do it cheaper in their opinion. As I wanted to be treated by someone who I trust I choosed the best possible doctor. Due to the fact that I was not waiting for my phisiotherapy I went for the private sessions. In fact I recovered very quickly and my phisiotherapy was shorter than the doctor predicted. It is not fair that they don't want to give my money back. What to do?