Dear anxiety247,
My heart reaches out to you and your situation. You are not alone.
The only reason I could think of the reason your benefits would not follow you wherever you go is because you are on a local or state plan with medicaid.

Your SSDI should continue wherever you go, /but you might have to fill out another application in that state, that's just a process.

Now I know I read a article in the news paper about people/patients with medicaid, rating the services they received, this was a nj paper and other states were doing the same thing. You can look for that.

First I would look a little deeper to see what kind of services you need.
Don't leave anything out, physical/emotional include all traumas back to childhood.
States with a larger population usually have more services but are more expensive as you already know to live in.

I decided not to apply for SSDI because it would reduce my Workers Comp benefits and the services I receive from medicaid.

So, I havent been much help. However don't feel stuck, this is temporary.
If you are not satisfied with the answers you get, you have the right to appeal /fair hearing.

Also contact Nami, National association for people with mental illness, they probably have advocates that can help you.
You can contact me anytime. You are not stuck, and can rise above this, keep reaching out and the more you share your story the more advice/answers you will receive.

Finding a great primary care doctor will be your best advocate.
Hang in there and keep in touch.
H.