Is it physically or emotionally?
If it is physically, it could be with decreased vitality and energy levels throughout the body, because in depressed state body tends to slow down all processes and overall energy becomes lethargic, which also can affect blood pressure, breathing and even hormonal balance, which might lead to feeling of suffocation.
If it it emotionally, it is because the overall direction of feelings is “downward”, environment starts to feel like it pressures you and because there is not much emotional positive force are coming out from the inside ourselves, it could give us a feeling of collapsing - suffocating.
One interesting but good advice that I picked up about feeling depressed was “look up to the sky”. I don’t know why exactly, but it works for me.
Maybe it would work for you too!