Yeah... I think I know what you might be going through. Well perhaps not exactly, but I left my old job because I had so much anxiety and just felt sick to my stomach everytime I thought about going back.... I thought I should quit before I spiral down into a deep depression.
So the question I have is, if your co workers are saying most people leave on the second day, then what does that say about the working environment? - it sounds pretty harsh whatever is going on...
I think...ahem... just uh clear my throat here... I think... if a job is making you so completely and utterly miserable, then you need to leave. If you suspect that it might just be a passing phase and that it could get better, then try to hang in there... at least until you get to talk to your doctor... you cant worry about what your family thinks, you have to keep yourself healthy and do whats best for you, even if it means making a decision that you may not be particularly proud of....
At least...thats what I think, whatever you do will be the right move I am sure..