Medication for depression is SO individual and it can take time to work out correct dosage and correct mix for a person.
I also take mitrazapine 60mg and also Venlafaxine 150mg. They once tried to put me on higher dosage of Venlafaxine but I had serious nasty side affects.
With regards your anxiety I think you have been doing REALLY well recently. Going to different appointments and so on. Take each little step forward and be proud of yourself. It will take time but you are moving in the right direction.
One thing that has struck me with your postings is I am not convinced you were properly explained to about your oxygen. From the postings you seem to indicate that you expect it to aid breathlessness? That is not what oxygen is for. It is to ensure your organs get enough oxygen to work properly. So when you talk about difficulty breathing the oxygen won't help in that area and I am worried you have been misinformed and this is causing some anxiety.
What is happening re Pulmonary Rehabilitation for you? People DO find the program very helpful. It will work in a safe environment to increase your level of activity. It will also give information about lung issues. I have found my second course of PR very helpful. They teach you that breathlessness is a part of activity/exercise. And not necessarily something to worry about. And I have been known to pass out due to breathlessness so it IS a big deal that I have better understanding when breathlessness is ok because of what I am doing and when I need to stop and use breathing exercises because it is becoming dangerous.
Hope you get onto a course soon.