That’s an interesting question. I looked this up in Up to Date, and there were studies on it for asthma with yoga classes; but the anxiety branch included this:
"Breathing retraining — Breathing retraining is a commonly used somatic coping skill . It is supported by evidence of respiratory abnormalities in panic disorder/agoraphobia possibly due to hypersensitive medullary CO2 detectors, resulting in hypocapnia (ie, lower than normal levels of PCO2) .
Traditional breathing retraining involves slow, abdominal breathing exercises. However, its value has been questioned in terms of the degree to which it actually corrects hypocapnic breathing .
Capnometry-assisted respiratory training (CART) [44,45], in contrast to traditional breathing retraining, uses immediate feedback of end-tidal PCO2 to teach patients how to raise their subnormal levels of PCO2 (hyperventilation) and thereby gain control over dysfunctional respiratory patterns and associated panic symptoms (eg, shortness of breath, dizziness). CART has been shown to improve panic disorder/agoraphobia symptoms  in part through reducing hypocapnic breathing , although another study showed equivalent effects using immediate feedback of end-tidal PCO2 to either reduce or to increase CO2 levels ."