I too have similar symptoms as you, and I do have Lyme disease, Bartonella and we suspect Babesia as well. I too get extreme shakiness/anxiety, breathing issues, etc. Btw, there are studies that show that both Bartonella and Babesia can cause breathing issues. I, like you, had to go slow when I started the Zithromax/Azithromycin. I started with 100mg/day due to feeling like I couldn't breath well when I tried taking 250mg at first. I slowly worked my way up to 250mg/day, where I am right now. Instead of increasing to 500mg/day, as well as adding either Rifampin (for Bartonella) or Mepron (for Babesia), I decided to stay at the 250mg/day and incorporate natural botanicals (herbs) instead. The main purpose is because I have a lot of difficulty with the antibiotics, but it really is a preference.
I recently started on the Cowden Protocol, which you slowly increase until you eventually get to the full dosages over time. I did notice after taking the Zithromax/Azithromycin after 1 month, and then adding the Cowden Protocol for about 2 weeks that I'm having less bad days/symptoms, and more good days. I do Herx at times, but that's expected. Over time, we should notice less and less Herxing as more and more of these bugs die off.
Note: If it seems like the Herxes are too much for you, try detoxing. I found Burbur-Pinella to be really affective in helping me to alleviate a Herx. It sells online at many places. I get it from the main company itself (NutraMedix), but you can get it at a lot of places online. You can also try cutting back a little on what you are taking for a day or so (a few days if needed), then slowly increase again onc you are over the Herx, but try to keep taking at least some of the medications without stopping it completely. Usually, the herx will subside.
Also, have you tried botanicals for the anxiety? There are a number of them out there that may help, such as Skullcap, Passion Flower, etc. If the anxiety is really bad, you may need to ask your Medical Doctor for a prescription of anti-anxiety meds. They aren't the best, but they can help with really bad anxiety, especially with Babesia and/or Bartonella, as well as Lyme. Eventually, the anxiety should subside with treatment.
You may want to find yourself a Naturopathic Physician to help you, along with your Medical Doctor. The Naturopathic Physician can help you support your body and its detoxifying abilities, as well as to decrease the inflammation, which causes a lot of the symptoms that we tend to experience.
I wish you the best. Remember, Never, Never, Never Give Up! If you are a person of faith, trust in God. You will find a way to get through this in time.