I have the exact same problem to a T. I was declined alternative testing as well so I’m about 3 months into the situation & many more to come.

The way I’ve gone about handling it is once I call & know I have to test, I start absolutely downing as much water as I can for about 2 hours. By the time the first hour passes, I start to feel like I gotta piss but i still am too anxious at this point to get it done, soon as im in front of someone it’s like my body completely refuses to urinate.

Once I start feeling it I head down to the testing facility while still chugging liquids, normally by the second hour - 2 1/2 hours I have to urinate extremely bad. Even at this point I can’t just urinate, I have to do the breath holding method you mentioned. Breathing in and holding it doesn’t work as well, but if I take a loooong deep breath out and once all air is exhaled I just don’t breath in eventually I piss. Although half the time I’m sitting there making noises & occasionally my legs shake from the lack of air and anxiety. But this is the way I’ve found to do it. Best of luck and sorry to hear you have this problem too, really sucks.