Yes, if he even tried to confide something abstractly to Sandra he'd have to figure out some cover story for it to make it fake. And how can he explain his problems without explaining that he's living a lie and killing people etc. It's pointless without that.

I hadn't thought about the risk in talking to Elizabeth but yeah, it really does say something that he's trying to tell her how feels like shit all the time--that does show an amazing amount of trust in her. She's certainly not the first person I'd think of to talk through my doubts about what I was doing. It's especially risky since he doesn't even really know what he's trying to say--who knows what could come out of his mouth?