It could be better for him to see a psychiatrist along with the therapist. Psychiatrists are experts on psych drugs and would know better what to prescribe (and what not to prescribe) than a family doctor. The fact that he's specifically requesting Xanax (and not just that type of drug--there's others like Ativan) does suggest to me that maybe he tried one of his friend's or something. I tried Xanax in the past, and my psychiatrist only prescribed me a very tiny dose at first--like 5 pills to take as needed. There is the risk of becoming addicted, as others mentioned.
How long has he been on Zoloft? It can take up to 8 weeks to reach full effectiveness. And he might need a higher dose.