I dont advocate it because of the risks but for me personally I started tanning this winter as my levels were low and my naturopath said that it could cause me to feel more anxious. After I have a tan I feel much more calm and relaxed for the entire day. The supplement might have the same effect. Our doctor even has my kids taking a vitamin D supplement as they are finding out more and more benefits from it as well as illnesses etc caused by the lack of it.
The sun is always out and you can benefit from it even on a cloudy day. People are so afraid of skin cancer that they are staying out of the sun and wearing sun block which also blocks absorption of vitamin D provided by the sun. Protection is good, but a little bit of sun everyday helps a lot. You've had a tough winter up there!
Unfortunately the sun doesn't always shine in Cleveland... :-(
I wouldn't worry now that you are getting a supplement, and get outside in the sun everyday to help with this as well. I don't know of any connection between low vitamin D levels and anxiety, but that doesn't mean it can't happen. Just don't dwell on it, concentrate on getting your level back up and living life. Take care!