Yeah that sounds familiar. I have some history with anxiety, it's been fine for a long time, but a few times pregnancy chemical shifts caused anxious symptoms even when my brain was totally happy with life.
And I'm at 37+ weeks now, babe is fine, and I've had maybe a handful of days when this came on.
It isn't good for LO for you to not address the anxiety, because cortisol exposure isn't great for them. There aren't a huge array of choices during pregnancy however.
I've done really well taking 5-HTP (100mg 2x per day). The first OB I saw freaked about the 5-HTP ("it's not been studied"), which I've taken for ages. But my current naturopath says it's a great choice during pregnancy. The naturopath also had some homeopathic choices. I also often found a significant tie to low blood sugar or dehydration.
I hit a really awful patch one night last week, and it was so random it was clearly hormonal -- my midwife whipped up a tincture that helped a lot.
In each instance, the common thread was that I told my healthcare person right away and chose some small modification to address it.
Cognitive behavioral therapy teaches excellent skills for coping with anxious thoughts. You can get small doses without enrolling in therapy with a book called the Anxiety and Phobia Workbook.
Having a reduced lung capacity doesn't help; see if it helps to remind yourself, "My body is changing a lot; these sensations can create a feeling of anxiety, which can make normal thoughts into anxious ones."
Some other steps to picking apart the anxious thoughts are:
-- Write down the recurring thought
-- What things provoked this feeling/thought
-- What is the worst that can happen
-- What is the liklihood of this happening
-- How would I deal with it if it did
-- What is the more likely outcome
-- What is another way of interpreting what is going on
-- What would I advise a friend
In short: you need a tool for dealing with the anxious thoughts, and a tool for dealing with the anxious physical symptoms. If you can pull the plug on one it'll help kill the other.