The meaning of privacy to an individual is an individual thing. Consequently, our perception of how private/public we are is also just that, a perception. Some people are "out there" but don't know it and other people have no real need to worry but do anyway.

The way I deal with the privacy issue is to know myself and what I am "worried about". Then I take my worries and address them, rather than try to address the outside-of-me, whole world and try to make it keep from worrying me.

In your specific situation, where I you, I would borrow or save money and see a private therapist. A private therapist does not use insurance, does not interact with the insurance company, your work, your family, or anyone else, it's just you and the therapist. That's what I did.

If you are unwilling or unable to do that, I would learn and discuss everything I could about my own insurance and my own therapist situation with my therapist. I would teach myself not to look at the broad picture of what "could" or "could not" happen, of what may or may not happen to other people and just focus on myself and my situation.

I would also look at my individual life and the things I am afraid of disclosing and see how important or interesting they are likely to be to the rest of the world, who has other things interesting/important of their own and are really not paying much attention to me.

All things have two sides and the drawbacks of any situation are only half the picture. There are also benefits. I remember when I lived in a high rise apartment building alone and was worried about my apartment being broken into and my being murdered, raped, robbed, pillaged, etc. :-) But then I realized that there were at least 500-600 apartments and the chances of a random pick of mine was very tiny.

That's true in our society now too, the chance of some clerk somewhere reading the dry and coded information in your insurance records, knowing/caring who "you" are as an individual and taking the time to translate the service code and read the information about it, etc. and then being able to come to you and say, "You are depressed! For shame!" or something, is not very likely?

Even more clinical records, from a hospital stay (a psychotherapist does not share your session information with insurance, there's no need at all, they just have to confirm you are depressed, etc. and guess how long they will need to treat you, etc.; what happens in each session may/may not be kept by the therapist in their own records that are in their office/home, usually under lock and key -- look at how hard it was to get a particular person's records (Daniel Ellsberg's) from Dr. Fielding's offices for the Watergate scandal!) Why would you be that important to anyone else?