That sucks lookout!
Your local hospital should have a crisis intervention area for emergency psychiatric situations. The hospital can, or should be able to refer you to places in the community where you can get help.
Some towns have medical intervention ( day )clinics where kids can be placed and observed and properly diagnosed by a pediatric/ adolescent psychiatrist. It is kind of like a school. They do daily normal activities and trained professionals watch and interact professionally with the children every step of the way.
Untreated anxiety in children will develop into depression of course. They know something isn't right, and when they call out for help in the form of a suicide note the best thing to do is go to the emergency for psychiatric help.
...and get a childhood psychiatrist. Not a psychologist. I find they are crap.
What I find reassuring is that he seems smart enough to ask for help. I know it is distressing to get pleas for help via suicide threats from your child but at least he is verbalizing and that is a great thing.imo They don't know what to do to help themselves so it is up to us to make the professionals life's uncomfortable until they do.