I don't think you can put such graphic real life terms and acts into KH: Xion does sort of have a few symptoms of depression, but suicide and depression isn't anything that would exist in the game's universe. The story's about the search for who or what you are, and coming to terms with it, if you want to put a deeper meaning to it.
The only tragedy you're supposed to take from Days, in my opinion, is the whole friendship Xion makes with Roxas and Axel was doomed from the minute they met, and Nobodies never have a happy end. They live, they work, they're destroyed, and destroy anyone who opposes that system. Anything else is a futile attempt at acting fully human.
Disney wouldn't have allowed a game to be released that was supposed to be taken as a suicidal teenager with depression killing herself.