There is another way to see this (and, having read most of the Nietzschean corpus at one time or another, I think is far closer to Nietzsche’s point; remember that Nietzsche was largely an aphoristic writer, whose short sayings formed a dialectic). I urge you to read the whole of Percy’s quote below, rather than cherry-pick it (Percy, by the way, was a practicing Catholic, and seems not to have been a depressive fellow).
This is not far removed from other writers, who intended such “entertained suicide” as a “spiritual” therapy. For example—
"Die while alive and be thoroughly dead. Then do what you will, and all will be well." (Zen Master Bunan)
“Be thoroughly dead, and buried in God.” (Meister Eckhart, Dominican priest and theologian)
“For those who want to save their life will lose it, and those who lose their life for my sake, and for the sake of the gospel, will save it.” (The Christ; this is, of course, not necessarily about “spiritual” suicide—or suicide at all, or intentional martyrdom either—and can be interpreted a number of ways, which are not necessarily mutually exclusive, and can include the contemplative)
"There is only one really serious philosophical problem, and that is suicide." (Camus; though he meant real suicide, which he rejected as an act of ethical bad faith)
But those are just asides; please read Percy below—
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—from Lost in the Cosmos: The Last Self-Help Book
by Walker Percy [bolds mine]
Thought Experiment: A new cure for depression.
The only cure for depression is suicide.
This is not meant as a bad joke but as the serious proposal of suicide as a valid option. Unless the option is entertained seriously, its therapeutic value is lost. No threat is credible unless the threatener means it.
The treatment of depression requires a reversal of the usual therapeutic rationale. The therapeutic rationale, which has never been questioned, is that depression is a symptom. A symptom implies an illness; there is something wrong with you. An illness should be treated.
Suppose you are depressed. You may be mildly or seriously depressed, clinically depressed, or suicidal. What do you usually do? Or what does one do with you? Do nothing or something. If something, what is done is always based on the premise that something is wrong with you and therefore it should be remedied. You are treated. You apply to friend, counselor, physician, minister, group. You take a trip, take anti-depressant drugs, change jobs, change wife or husband or "sexual partner."
Now, call into question the unspoken assumption: something is wrong with you. Like Copernicus and Einstein, turn the universe upside down and begin with a new assumption.
Assume that you are quite right. You are depressed because you have every reason to be depressed. No member of the other two million species which inhabit the earth--and who are luckily exempt from depression--would fail to be depressed if it lived the life you lead. You live in a deranged age--more deranged than usual, because despite great scientific and technological advances, man has not the faintest idea of who he is or what he is doing.
Begin with the reverse hypothesis, like Copernicus and Einstein. You are depressed because you should be. You are entitled to your depression. In fact, you'd be deranged if you were not depressed. Consider the only adults who are never depressed: chuckleheads, California surfers, and fundamentalist Christians who believe they have had a personal encounter with Jesus and are saved for once and all. Would you trade your depression to become any of these?
Now consider, not the usual therapeutic approach, but a more ancient and honorable alternative, the Roman option. I do not care for life in this deranged world, it is not an honorable way to live; therefore, like Cato, I take my leave. Or, as Ivan said to God in The Brothers Karamazov: if you exist, I respectfully return my ticket.
Now notice that as soon as suicide is taken as a serious alternative, a curious thing happens. To be or not to be becomes a true choice, where before you were stuck with to be. Your only choice was how to be less painfully, either by counseling, narcotizing, boozing, groupizing, womanizing, man-hopping, or changing your sexual preference.
If you are serious about the choice, certain consequences follow. Consider the alternatives. Suppose you elect suicide. Very well. You exit. Then what? What happens after you exit? Nothing much. Very little, indeed. After a ripple or two, the water closes over your head as if you had never existed. You are not indispensable, after all. You are not even a black hole in the Cosmos. All that stress and anxiety was for nothing. Your fellow townsmen will have something to talk about for a few days. Your neighbors will profess shock and enjoy it. One or two might miss you, perhaps your family, who will also resent the disgrace. Your creditors will resent the inconvenience. Your lawyers will be pleased. Your psychiatrist will be displeased. The priest or minister or rabbi will say a few words over you and down you go on the green tapes and that's the end of you. In a surprisingly short time, everyone is back in the rut of his own self as if you had never existed.
Now, in the light of this alternative, consider the other alternative. You can elect suicide, but you decide not to. What happens? All at once, you are dispensed. Why not live, instead of dying? You are like a prisoner released from the cell of his life. You notice that the cell door is ajar and that the sun is shining outside. Why not take a walk down the street? Where you might have been dead, you are alive. The sun is shining.
Suddenly you feel like a castaway on an island. You can't believe your good fortune. You feel for broken bones. You are in one piece, sole survivor of a foundered ship whose captain and crew had worried themselves into a fatal funk. And here you are, cast up on a beach and taken in by islanders who, it turns out, are themselves worried sick--over what? Over status, saving face, self-esteem, national rivalries, boredom, anxiety, depression from which they seek relief mainly in wars and the natural catastrophes which regularly overtake their neighbors.
And you, an ex-suicide, lying on the beach? In what way have you been freed by the serious entertainment of your hypothetical suicide? Are you not free for the first time in your life to consider the folly of man, the most absurd of all the species, and to contemplate the cosmic mystery of your own existence? And even to consider which is the more absurd state of affairs, the manifest absurdity of your predicament: lost in the Cosmos and no news of how you got into such a fix or how to get out--or the even more preposterous eventuality that news did come from the God of the Cosmos, who took pity on your ridiculous plight and entered the space and time of your insignificant planet to tell you something.
The difference between a non-suicide and an ex-suicide leaving the house for work, at eight o'clock on an ordinary morning:
The non-suicide is a little traveling suck of care, sucking care with him from the past and being sucked toward care in the future. His breath is high in his chest.
The ex-suicide opens his front door, sits down on the steps, and laughs. Since he has the option of being dead, he has nothing to lose by being alive. It is good to be alive. He goes to work because he doesn't have to.