If you're being offered therapy that you really need then you need to find a way to make it happen.
Have you talked to work about it? Could you work reduced hours and get some additional benefits to cover the loss in money? Could you suggest having time off in the week for therapy and make up the hours every Saturday instead? (Personally think this could be a very reasonable and sensible suggestion to make).
I know nothing about PIP or benefits or any of that but I know you need help and you need to do something (other than suicide) to help things improve.
I know you feel like there aren't any options but there are. There really are.