I think you could start a conversation by telling her how helpful it has been to talk to her, and you could even say "I realize you're not trained to treat depression or anxiety but nonetheless, this has been helping me and it's really important to me." And then if you can, you could tell her you're worried about losing her if you fully open up about things.

If this therapist is working for you, then I would think about the possibility of supplementing with additional specialized care, but not replacing her, and maybe you could talk to her about that too.