I think the Witnesses are more appealing to people who are mentally ill. I'm not making fun, just an observation. If you are depressed, hopeless, or suffer from other mental disorders you aren't thinking rationally to see what you are getting into.
I agree with Dinah on the question of causality - or more correctly, the propensity to develop a mental illness: depressed and troubled people in general may have a harder time with life anyway - regardless of religious persuasion - and they often seem both attracted to and repelled by religions that offer simplistic solutions. BTW: If we blame the Watchtower Society for members' suicides, we need to also credit them with "saving" the lives of people who were at rock bottom before they converted to the JW system. Fair's fair, I say!
An important distinction also needs to made regarding which mental illness is being discussed. It does not make much sense to talk about the JW environment causing depression or anxiety, on the one hand (the so-called "neuroses", to use an old psychiatric term) and then switch the discussion to psychotic illnesses such as schizophrenia whose etiology is very different from mood and anxiety disorders.
The question of the incidence of mental illness among the witnesses is a valid one; I just think it is a shame that, to date, most people writing on it, come to some pretty shabbily simplistic conclusions, Bergman being one of the better known and worst examples.