Read the meditations book from Marcus Aurelius, and you'll understand everything.
In short, no, the Gods do not want you to kill yourself, they want you to overcome whatever faith have assigned to you, they are there to help, if you ask for help and do something to overcome this.
Don’t worry if God wants you to die, he will kill you. Angels attacking you with voices because you are protected by Satan and if they can’t touch you, they will try to make you commit suicide.