You will need to find a therapist who will work with exploring your physical sensations and emotional sensations first. The therapist you are working with right now is assuming you have knowledge that you do not yet have, and is taking the next steps. They do not understand how you cannot have knowledge about these things within yourself.
But they do speak a truth in that it will have to be you who is going to pay attention to your bodily sensations and notice them, because they cannot do that for you. But still, most people will find things like clenching, more stimming, breathing a bit faster, more rapid heartbeat, etc, as signs.
Mindfulness is a therapy you could look into doing. It's basically the practice of just that; noticing the world outside of you at any given moment in time, or noticing the world inside of you at any given point in time. It's when you consciously take time aside and focus on things, noticing them. The goal is to be able to notice before your anxiety reaches the stages where deep breathing becomes too hard, for instance. Find someone who is patient with you and who will give you explicit homework in this practice if you do this.
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Not autistic, I think
Prone to depression
Have celiac disease
Poor motivation