I don't mean ANY of my post to come off rude or judging, so I hope it doesn't.
First, the fear of being terminated is quite common. I had it OFTEN, weirdly enough, it was my T yelling at me about a month ago, that lead me to feel secure in the fact that he wont just do that.
Second, do you know your attachment style? Might be worth reading more about to understand yourself better. It could be part of why you are reacting as you are to this. Also anxiety is a huge factor, which I am assuming you have.
Lastly, yes my T has had times like this but not about sad things per say, he's outright said "I'm not sure where to go with this" and it sucks but I remind myself, he's human. He doesn't have all the answers. Part of the journey if therapy is figuring things out together. Maybe you can talk to him about how to deal with the pending grief. I went through grief last year and my T was the best support I had then.
Anyway, I am sorry you are struggling wit these thoughts and also about the person dying in your life