I'm the same way. I'm not very good at small talk as it is, but when I'm feeling depressed it's the absolute last kind of conversation I want to have. I tend to isolate a lot when I'm depressed, which doesn't help much, but making small talk with people I don't know well doesn't help either. Honestly, I just sort of play along until I can find a way to politely excuse myself. In order to avoid complete isolation I try to talk to friends or relatives, people who know about my depression and who I can be honest with about my mood.