Ladies I need advice!!!

I've been dating this guy for about a month now and I am NOT happy in the relationship for various reasons. I've tried breaking it off but every time I do he starts crying hysterically and begs me not to leave. He struggles with suicide and I'm scared to leave him alone in that mental state. So I stay. What do I do? I'm not happy  but at the same time i don't know how to leave. Any advice???