Dr. Larry Schor is a psychotherapist who has CH. He has spoken at many CB conferences and is an exceptionally good guy. I don't know whether he works with clients remotely, but it might be worthwhile to contact him and find out if he has any suggestions for you: http://www.carrolltoncounseling.com/
Yes, indeed. Take that step now, please, and let us know how it's going. There are some links in here -- https://clusterbusters.org/forums/topic/6213-basic-non-busting-information/ --to help persuade a doctor, but s/he should just know from looking at any standard online or printed medical reference that O2 is the #1 recommended abortive (along with injected triptans, but of course the difference in side effects is night and day). Some people here, including me, theorize that doctors' resistance to prescribing O2 is often not that they don't know about it, but (a) they don't have patients using high-flow O2 and don't know how to "manage" it; (b) they don't know how to write a prescription for O2 for CH; and/or (c) they figure Imitrex works just fine. (The prescription language is something like "Oxygen therapy for Cluster Headache: 15 minutes at 12-15 liters per minute with non-rebreather mask.") Welding O2 is a very reasonable alternative. I agree with Jeebs that some busting substances might improve mental wellbeing in physiological ways, and I would also say that oxygen has improved the mental wellbeing of many, many people with CH, taking away some of the dread that you describe.
I get lost on this topic, but it's my understanding that some antidepressants might block busting and some do not. Could be wrong about that. I would suggest that you name the specific antidepressants involved and then maybe people can give some direct advice/guidance. (You can also use the search bar at the top right of every page to enter a term and see what people have said about it.)