I've never found much solace in talk therapy. I know what's eating at me. So do you. I could talk about it forever and it wouldn't change how I feel.
Is talking about what's happened going to make you feel better? I don't know. Maybe it will if you're lucky.
It seems to me to make more sense to find ways of coping with what's happened while still moving forward with your life. That's harder to do for you right now because of where you live. No doubt that's also playing a role in your depression.
Perhaps more relevant to this thread in general is that being stuck in what seems like a hopeless situation plays a role in depression. Being young, gay, in the closet, and afraid to come out for fear of being ostracized or worse is enough to make anyone depressed.
Is it what I call situational depression which meds probably won't do much if anything to alleviate? Or is it clinical depression that meds can help with? I don't know. Only a psydoc can tell you for certain. But there's the Catch-22. Regardless of which kind of depression it is what maybe makes it worse is you can't tell anyone about your depression without risking the real source of it being uncovered.
What's a person to do in that situation? I'm really not sure. Tough it out seems too trite an response. Develop of circle of friends with whom you can be honest is perhaps a more workable solution. That still might not be enough...