I think I understand your predicament. I started therapy around that age too; and was always incredibly anxious.
I cancelled because I wanted to study a few times, then I realized how much of a waste that was TO ME, and I started scheduling appointments after exams, which given my timetable was always odd; so I explained. She was very understanding about it.
Trust me, they know how much many of us freak when we have to go... Just stick with it.