YANBU.
He claims only weed or whatever helps his depression, but he won't even go to his GP, so he can't say that. Even if he's tried some meds in the past, there are dozens of different options- he needs to keep going back. Same goes for therapy. If he won't do anything to help himself, there's not much you can do.
He is partly using his talk of illness, 'neglect,' suicide etc to try and get stuff out of you, of course.
I was a bit like this and it turns out my mental health problems etc. were more complex than any of us knew at the time. At 25 I had my first hospital admission for bipolar. Once they found a medication that worked for my bipolar, I was quite a bit better at budgeting etc, although that was more of a knock-on effect. Bipolar is episodic so you can't usually have episodes all the time, yet I still couldn't handle work. I was 40 before I was diagnosed with ADHD with autistic features, and personality disorder traits.
I remember once in particular I pulled this sort of shit with my mum. I was living with her at the time and wrote her a rambling letter, can't remember all of it but at one point it said 'my death (which will be soon)' rolls eyes 
Mum wrote me a letter back and at one point it said 'you were very much loved and wanted.' (I can't remember the rest lol, but by putting it in the past tense she didn't mean I no longer was, just that I was from birth or whatever.) It has stuck in my mind.
Maybe write him a letter? State how much you love him etc, and wish he would seek help so he can feel better.
Then, whenever he goes on about suicide, call an ambulance. He might soon get bored of that, plus it's the best thing you can do to protect him.
Sometimes people with mental health problems need to 'sink' a little before they can swim. If he goes through some sort of more profound incident with his condition, one way of another he might have an encounter with services , and get medicated etc.
My parents helped me financially through university (I could never have managed without the extra help, as I was crrap at budgeting and really addicted to cigarettes- spent about £50 a week on them over 20 years ago.)
Them helping me financially and with repeatedly setting me up in flats etc, meant my condition/help wasn't picked up by services and I wasn't given the help I needed until several years or more after what would've been ideal. So, you, as many decent parents would, are probably slowing him getting help that would make him function better, which the earlier he gets it the better the outcome will be at least in terms of his threats to self harm etc, if not with work (which he may not be able to manage for some as yet undiagnosed reason.)
I don't necessarily have the answers, but feel you might have to nag him to get help as your only response, even more than you are now. Have calling emergency services be your only response to his suicidal threats and comments/manipulation, and have speaking to his GP etc as your only response to him mentioning his depression. Not only is this the best action you can take for his health, but also it to an extent takes the pressure off you, as you're saying to yourself as well as him that you can't help him, he needs professional help, it's not your 'responsibility' as you don't have the skills and the necessary distance a professional would have.
Sorry for the long winded post. Hugs and best wishes xxxxx