I know stress can also affect short term memory, you write you have anxiety, that alone could be impacting on your memory (the brain can only handle so much).

I was on Setraline and did get a bit slow and hazy on it, so it could also be that. Sleep issues can be important too as your doc says.

I know you mention your Vit D, that can impact too, did you get your Vit B12 levels tested too? That can have a big effect on memory, might be worth supplementing a while and seeing if it helps.