I need to create a photograph that gives the feeling of escapism and anxiety. What kind of techniques can I use — especially in post-processing — to create this mood.
If it were me, I'd probably go with either a lack of color or at least desaturated colors for the anxiety/depression side. There is some evidence that depressed people have poorer perception of contrast, which would lead to things seeming closer to gray. I even saw a documentary once about a woman suffering from depression and going through brain surgery to treat it. She had to be kept awake during the procedure, and at one point she expressed surprise because she suddenly started to perceive color again and hadn't realized that she had lost it until that point.
While anxiety and depression are not the same, they are related. I think of anxiety as being more dark and being represented by black or nearly black colors.
For escapism, I tend to think of the fantastical worlds of movies and TV shows. And when we're talking about colors, they're always lush, saturated colors. Even Mordor from The Lord of the Rings trilogy is full of bright fiery saturated reds, yellows, and oranges.
So if you're only using colors to represent these concepts, I'd go for unsaturated/dark on the anxiety side and bright/vibrant/saturated on the escapism side.