Air carrier Captain reported being low on an approach requiring corrective action.

Narrative

Inbound on the arrival planning Runway XXL. Around ZZZZZ [Intersection] we were told the airport was changing configuration and to plan on Runway XY. We set up for ILS to visual conditions and briefed as such. We were told that Tower had one more departure off of [Runway] XX; but were being given vectors to ILS Runway XY. About two miles outside of ZZZZZ1 [Intersection]; we were told the Tower couldn't get the ILS turned around and to plan on the RNAV. At first the PM (Pilot Monitoring) selected the RNAV Z but quickly changed the box to reflect the RNAV Y; I think the PM stated it was more appropriate. The baro selector was set to the touchdown zone as we were planning for a visual. After announcing LNAV/VNAV PATH and starting down after ZZZZZ1 [Intersection]; we both said we may need to shoot the full approach as we could not see the airport. Note; after putting this approach in the box; I did quickly go over the waypoints and altitudes. I 'think' I had the PM set his baro selector to the DA for this approach. I also remember thinking I had set my selector as well. Unfortunately; I am pretty certain I changed the altimeter setting to a higher setting. I did not set my baro selector to minimums; as I thought I had. I was in the yellow at that time. While trying to focus; we heard 'Glideslope' numerous times. I almost disregarded it as I was thinking it was not on and was erroneous. This added to my confusion. I have no doubt I had tunnel vision at that time. At some point I heard the PM call out approaching minimums and simultaneously stated 'you are low' as we broke out from the overcast. I looked up to see four red on the VASI. I'm fairly sure I told him I was correcting and immediately added some power and regained two red and two white on the VASI. We did not get any terrain warnings from the GPWS or from the Tower. We landed and turned off the runway and taxied to gate. I was a bit 'spooked' about what had just happened. At the gate the PM and I discussed this event in detail and at some point saw my altimeter setting was wrong.