I'm honestly so sorry about your OCPD. I have OCD, but I know what it's like for your obsessions to take control of your life like that.
You honestly need to get it through your therapist's head that your OCPD is totally RUINING your life & that's what is mainly causing your depression. Say that you can make time to try to treat your depression, but that you'd like to focus on your OCPD since it is controlling your life. I mean, if you're suffering suicidal thoughts, then it may be a good idea for her to focus on those. But tell her that your OCPD is destroying your life and that you'd like for her to spend more time on that. Tell her that if you focus on those, and minimize your OCPD as much as possible, then your depression might fade a little bit as well. Don't worry about hurting her feelings; I'm sure she has heard a lot worse than just a patient asking her to focus on something.
I honestly wish you the best of luck and I'm sooo sorry that you're going through this. You're in my thoughts.