Oh YES... inner ear issues very much cause anxiety for me, especially if I have a cold. Several years ago I had a very severe inner ear infection and got SEVERE, crippling vertigo that lasted for a month (24x7, even at night in bed) It has so profoundly affected me that even years later (and after I have totally recovered from the physical aspects of the infection) I still stress about it. I think it's a HUGH factor in my HA overall. I felt totally helpless and that really sucked bad.
I do notice that dizziness is often one of the first things that start up when my anxiety is going crazy.