Has your doctor discussed Tricyclic antidepressants with you for their anxiolytic properties? They tend to have strong side effects, but these are usually sedation rather than heightened anxiety states, and if you've reacted badly to two SSRIs then they are usually the next step.
Don't worry about your doctor getting sick of you, finding the right medication is very much trial and error. Not many people find success with the first one (or three) they try. And without you, they wouldn't get paid!
It could also be the case that antidepressants simply aren't the route for you. I have much more success with beta-blockers for anxiety and panic, with far fewer side effects.
But as stated above, if you're not tolerating meds because of side effects, a low dose of diazepam as needed is pretty standard practice. I wouldn't have tolerated anything without them.
Good luck, hope it gets sorted soon!