Welcome to HW, we are a very supportive environment here, I hope we can help you out. You are going through a great deal at the moment, Grief is a huge anxiety trigger, and a new baby too. That's a lot to deal with. I really don't know if medications just "quit" working, but sometimes the dose needs to be changed.
If your doctor won't give you any anti-anxiety meds then please see another. You should not ever be refused a medication that will help you with your treatment and recovery (I have had the same problem with many doctor, it can take a while to find one to trust).
CBT therapy really is an effective tool for overcoming anxiety and grief, any negative emotion really. It can seem overwhelming when you are in the middle of high anxiety, but if you take it slowly it can work wonders. A lot of our members have had success.
Are you seeing a therapist at all? They may be able to help you with this, alternately there is a great website "moodgym" that does CBT online.
I hope this helps you out a little and that things improve. Hang in there, let us know how you are going, and again, welcome.