This is from a small study, so it would be inappropriate to
draw a broad conclusion from it.  Still, it is kind of
interesting.
href="http://baywood.metapress.com/app/home/contribution.asp?referrer=parent&backto=searchcitationsresults,2,2;">

href="http://baywood.metapress.com/app/home/contribution.asp?referrer=parent&backto=searchcitationsresults,2,2;">Bupropion
in the Treatment of Outpatients with Asthma and Major Depressive
Disorder
E. Sherwood Brown, Lana A. Vornik, David A. Khan, A. John Rush
The International Journal of Psychiatry in Medicine
      Issue:
     Volume 37, Number 1 / 2007
      Pages:
     23 – 28

Objective: Depressive
disorders are common in asthma. Despite
the high prevalence, antidepressant therapy in asthma patients with
depression remains under-investigated. The objective of this pilot
study was to investigate the use of bupropion for depression and
anxiety in depressed asthma patients. Method: We
conducted a
12-week open-label study of bupropion in 18 depressed asthma patients.
Participants were assessed with the Hamilton Rating Scale for
Depression (HAM-D-17), Hamilton Rating Scale for Anxiety (HAM-A),
Inventory of Depressive Symptomatology–Self-Report (IDS-SR), Asthma
Control Questionnaire (ACQ) and spirometry at baseline and weeks 1, 2,
4, 8, and 12. Results: Significant baseline to exit
improvements were observed on the HAM-D-17 (mean change = 4.72, SD
= 7.78, p = 0.02) and the HAM-A (mean change =
2.12, SD = 3.97, p
= 0.04). Based on the HAM-D-17 scores, 27.8% of the patients were
responders and 16.7% were remitters. Significant correlations were
found between changes in ACQ score and HAM-D-17 r =
0.73, p = 0.001), ACQ score and IDS-SR r
= 0.58, p = 0.012), and FEV₁%
Predicted and HAM-D-17 r = -0.66, p
= 0.006). Conclusions:
Bupropion treatment was associated with significant improvements in
depression and anxiety symptoms in asthma patients. Improvements in
asthma correlated significantly with improvements in depression.

Some features about the study limit its usefulness.  First,
the patients were all recruited from a prior study on the effects of
citalopram in patients with both depression and asthma.   Only
those who either did not tolerate the citalopram, or did not respond,
were enlisted in the bupropion study.  So it was not a random
group.  Plus, it was open-label.  

Ordinarily, bupropion does not improve anxiety very much.
 Perhaps when asthma gets better, anxiety improves as well.
 It is not possible to determine cause and effect in this
context, but it is fun to speculate.