I have found that anytime I am having shortness of breath, Vicks can actually help. I use it on my nose and breath it in. Because it feels cooling, it relaxing my airways a bit and helps me feel like I am able to get a better, deeper breath in.
A number of possible explanations for this, first of which is that it actually works – not being a doctor I can’t vouch for that.
It could also be for other, psychosomatic reasons, for example you may have had it rubbed on your chest when poorly as a child and found that you slept well because of the nurturing interaction with a parent. This is likely to form a lasting memory that may trigger the same response in later years.
I have used it in the past, I think it helped but a stronger memory is that my room seemed to smell of it for weeks afterwards, which is not a bad thing as it smells better than a teenager’s bedroom!
I use this stuff often because I have a postnasal drip most evenings. When I wake up in the morning, my nose is almost always stuffed, especially when it gets cooler out. I have not noticed this helping with anxiety but I have never actually tried it for that purpose.