I really don't want to pry, but how does your boyfriend react to your anxiety when the two of you "are not doing well"?
Not sure why you cannot take something for your anxiety, but for some temporary relief, have you tried the following?
1.Relaxation meditation - sometimes I download stuff onto my iPod. Its good to listen to and distracting.
2. Warm bath with epsom salts or soothing oils
3. Sleepytime tea
4. A walk
5. Call a friend or relative to get some things off your chest. Once you start talking it usually gets your breathing corrected and then you might feel better.
Good luck
If your medication isn't working go back to your doctor and tell him/her this, that's why they're there. It sounds like your relationship with your boyfriend may be a little rocky along with your depression. Relationships can be difficult at times, but try to remember that everything happens for a reason. Nothing is worth your wellbeing, so go back to your doctor and discuss how you are feeling.