My Pulmonologist sent me to see my GP to get put on an anxiety medicine. I got put on a low dose to take when having an attack.

I'd suggest finding a good therapist who can help you learn how to manage your anxiety, just like you manage your COPD. Sometimes meds can help, but learning how to control it yourself means you can almost always manage and control it. There's a lot to be said for being able to control things yourself.

I asked for something & got Buspirone---5 mg. 3 times day. When I get anxious it certainly affects my breathing.