Sounds like you are just one of those people who don't respond well to MJ. I tried it a few times myself in the hopes that it might help, and instead found that it causes me to have horrible anxiety symptoms. Some people have anxiety symptoms from it; this is the "paranoid" response you hear about sometimes. If you're dead set on continuing to use it, then you really should know exactly what you're using and not just use whatever street crap you get your hands on. Most MJ sold for recreational use is very high in THC which is the psychoactive component most likely to cause paranoia and anxiety. Indica strains which are specially cultivated for medicinal use can be low in THC and high in CBDs which may actually help with anxiety rather than making it worse.
My understanding is that the old "breathing into a bag" trick does not actually help with anxiety. It is sort of an old myth that a lot of people still recommend even though there's no evidence that it helps. It can help keep you from getting hyper-oxygenated (which can cause you to feel weird), but it also increases you levels of CO2 which can make you feel like you are suffocating. It's far better to just try to breathe slowly without the bag.