I have experienced this as well, so you are not alone. I often worry about possibly fainting while exercising. I am not athletic, so I often feel shortness of breath from over-indulging myself. Sometimes the heart rates on the machine say my heart rate is a little high (maybe even by 5 points or so) and I begin to panic a little and stop exercising. I am always scared of completely embarrassing myself if I have an attack like this.
I am just beginning a new chapter in my life. I start on medication tomorrow to help control my panic attacks, and I am sorry I cannot be of more help.
I just wanted to assure you you are not alone in this. The past few weeks I have felt so alone and no one has been any help (except for those on this wonderful forum).
Take care, and I hope things continue to improve for you.