Poor baby! I know how you feel, it's always so sad when our babies cry for us.
Have you tried some sort of flower essence? My sister uses them for her Chihuahua (who has a ton is issues), and they help her!
She uses Bach's Flower Essence - Rescue Remedy.
She also highly recommends Spirit Essences
Spirit Essences - Holistic Remedies for Animals and they help too. They have one for Separation anxiety.
These remedies can help in conjuntion with training/behavior modification.