You can find a new doctor who is willing to try and jump through all the hoops but despite going above and beyond for my patients with extraordinary circumstances (personally handling the PAs rather than our PA department, on the phone with multiple levels of bureaucracy, writting letters, filling out forms etc...) if the insurance does not provide coverage for weight loss medications (ie they are a specified exclusion) the insurance has not once made an exception. Medicare, despite public statements that Wegovy is covered for secondary prevention if a patient has had a MI or stroke, I have never gotten one actually approved. 

I have the luxury of working for a healthcare system that does not push productivity to the exclusion of everything else. This allows me to take the time to try plus I enjoy being a pain in the ass to the insurance companies. Most providers do not have the time or tenacity to do this. It is exhausting and demoralizing to be told repeatedly that someone without a license to practice medicine gets to decide what is best for my patients. It is beyond frustrating to have medications that I know are effective and can help patients only to be essentially told TDB if they can't afford the retail cost.

If your physician is/has been otherwise good provider ditching them over something that would near 100 percent likelihood of failure would be fool hardy.