If your claim is based at least in part, on mental/nervousness, then they may be doing what is called an IME, and a psychiatrist, or psychologist, would be the appropriate doctor.
An IME is an idependent medical examination, and it is fairly common. It is most often done when Social Security does not have enough of your medical records in their possession to make a decison.
If this is the case, you may find that word, IME, somewhere in the paperwork that they sent to you.
Basically, they want you to go see a doctor of their choice, so that doctor can evaluate you.
Most definately, you want to make this appointment, or call and make another appointment, it's important.