I would have a really hard time doing that too, for all the reasons you mentioned.

I think it's worth talking about all those reasons with your therapist, before even beginning to start to learn the breathing exercises. I think the first step is getting comfortable with the idea of it, and then gradually starting to learn to do it.

My last therapist started getting really into body work (I think it's called Hakomi) and it was way out of my comfort zone, so I had to get a new therapist. It just wasn't a direction I was even remotely ready to go.