I had a similar experience with my employee assistance offer. I told her how anxious I felt and she said that my breathing told her I wasn't anxious at all and wouldn't even explore it any further! I did stick with her for another couple of telephone sessions but didn't feel any better for it.
Some have their own ideas of what mental illness looks like when in reality they don't have a clue - they're in the wrong job.
Do you have any other avenues you can investigate?
Is your GP any good?