We present a parallel Monte Carlo (MC) simulation platform for rapidly generating synthetic common-path optical coherence tomography (CP-OCT) A-scan image dataset for image-guided needle insertion. The computation time of the method has been evaluated on different configurations and 100000 A-scan images are generated based on 50 different eye models. The synthetic dataset is used to train an end-to-end convolutional neural network (Ascan-Net) to localize the Descemet's membrane (DM) during the needle insertion. The trained Ascan-Net has been tested on the A-scan images collected from the ex-vivo human and porcine cornea as well as simulated data and shows improved tracking accuracy compared to the result by using the Canny-edge detector.