That must be so hard. Please don't give up. You have to do whatever is right for you otherwise you will both be destroyed in the long run. I would bring it up in counselling about her threat. She sounds like she needs individual help too. Relationship problems are hard enough to deal with when we are feeling reasonably strong so you should make the most of all the help available. I'm sorry you are having such a hard time. Hope things get better.
Keep talking on here. I find it really helps