I wouldn't wait until you get familiar with your psychologist to tell her about the abusive situation. During an initial visit, a therapist will usually ask about abusive relationships--it would be in your best interest to tell her at this time.
It may be important because there is a posibility that your mental health is affected by the abuse.
You need to realize that abusers use all kinds of tactics to make you think you are crazy. As you have stated, they will also make you scared (like the statement about killing someone). Things like this should be taken seriously. He is the real crazy person in this relationship and you don't know if he's joking or not. In the mental health field, we take these kind of statements very seriously.
Another issue I see here is that you have become isolated. Abusive people are very good at doing this. It ensures that you have no resources and will have to depend completely on him. It also keeps you from getting away from the abuse.
You mentioned going to a safe house, can you go back there, or do you need to have children to use the services? If they turn you away, ask them specifically who can help you. There should be a domestic violence project or program in your area, a domestic abuse shelter, or some form of resource you can use, regardless of whether or not you have children. If at any time you don't feel safe, please call a crisis hotline, I have used this kind of service before and they are very nice...I felt so much better when I got off the phone...Domestic abuse is not an easy thing to deal with but you have to remember that NOBODY, including yourself, deserves to go through this. There is no reason for him to violate you or victimize you, sexually, physically, or emotionally.
There is a lot of help out there for victims of domestic abuse. Telling your new therapist would probally be the best way to go about doing so. She might even be able to put you in touch with some very helpful resources. Please reach out to someone about this.