That's a great point that gives me pause. I don't know. Off the cuff hypotheses: maybe they use social media and the internet more? Maybe liberal boys have the highest IQs and higher IQs correlate strongly/cause sadness--see, e.g. McMurtry of his 187 IQ and his stoker woes? Maybe liberal boys have a much higher percentage of LGBTQ+ and so have more social pressure/reasons to be anxious or depressed?
Here's some other ideas, that might be closer to you and CoH?
"It is possible that liberalism does not just correlate with sadness but may exacerbate it. Musa al-Gharbi, a sociologist at Stony Brook University, has noted that educated, affluent white liberals have come to endorse the idea that America is systemically racist, leading them to view other racial and ethnic groups more warmly than their own. “This tension—being part of a group that one hates—creates strong dissociative pressures on many white liberals,” he wrote in the journal
American Affairs. Another hypothesis, advanced by Jonathan Haidt, a social psychologist, and Greg Lukianoff, a lawyer, is that liberals are performing a reverse cognitive behavioural therapy on themselves: promoting not resilience and optimism about incrementally improving the world but catastrophic rumination about problems such as climate change and fearfulness of disagreement even on university campuses. Such habits of mind can deepen depression."
Conservatives seem more excited about change
www.economist.com
Notice, though, that these ideas they are talking about are uniquely US/Western ones. I'm not sure you'd find this same reason in China or Cuba or North Korea, for example, where their women might also hold far, far left economic views.