How can I make sure that we are safe if my son’s father is mentally unstable, talks about depression and what death feels like?

What steps would you take if the two of you were married? Probably you would try to get him to seek professional help, and see what could be done by other family members to help in that regard. Legally, if he has done things that are threats or harmful to you or your son, you can seek protection from the court, depending on what they are. You might also try to pinpoint when things changed, i.e. if he was mentally stable when you had sex, and is not now, when did that change occur. It could be linked to some life event.