I'm not on DMDs, but I know that if I felt "suicidal", once a week, after taking a particular medicine, but not the rest of the time, I'd be pretty convinced it was linked to the medicine, and not to MS generally, or just "life".
Depression is listed as a possible side-effect of the interferons, and I believe they're not recommended for people with any history of serious depression.
Suicidal as frequently as once a week is a pretty severe side-effect, in my opinion. Do you mind me asking, is there a risk that you might ever try to carry it out? (Don't feel you have to answer).
If you know that there isn't, and can accept it's just a feeling, that will pass in a day or two (a bit like PMT), then it's probably worth persevering.
But if your suicidal feelings are literal, as in "might carry it out", you are putting yourself in danger if you don't do anything about this situation. Could you ask to try a different DMD? Or have you already tried the others?
It's a matter of weighing up different kinds of risks, isn't it? Reducing the risk of a relapse is good, but not if it seriously increases the risk of you coming to harm in other ways. You've just swapped one problem for another!
How frequently were you relapsing without the injections? If it wasn't very often, you might not notice any difference if you took a break for a while.