What you have written about him playing favorites, the attitude he has with this other client, the things he has said to you when you express a desire to leave and he isn't seeming willing to let you go - all these things sound disturbing and unprofessional to me!
I wonder if you couldn't research yourself and find out if your insurance would cover something else?
I want to be careful with this thought - but would it at all be possible, if you really do feel you are at risk with the suicidal thoughts, to simply go to the ER or something and get yourself checked into the hospital?
I wonder too if you have anyone else at all to whom you could express these concerns about your current T's words/attitude/behavior, someone who might be in a capacity to help you?
I'm sorry you're in this difficult situation.