It's not too late to ask what the sigh meant. It might be a good thing to bring up next session, because if it helps you to call and leave her messages, she should know that. Maybe she will set limits or something but doesn't mind you calling. After all, she's the one that said she wants you to call when you need her.

I'm sorry you feel you are too much for your T. I'm sure that is not the case at all and I hope you will ease up on yourself a bit. You are there to work on a bunch of stuff and their job is to help you with that--no matter how many or how few issues.

If it were me, I would bring this up in session. Not just the sigh, but "feeling like I'm too much" for my Therapist.

"We are still getting to know each other.
But I still fear I am too much for her.
Sometimes I feel like a bad patient."

^^^This seems pretty important to discuss with your T. The best way to rid of the fear is to dive in. It just seems it would be healing to have your T help you reach a conclusion as to where the fear is coming from, what makes you feel like a bad patient, and where you got the idea you are too much for her. Sounds like a really good place to start to prevent future assumption because we feel bad when we assume and mind read.