I get nervous when the doctor listens to my lungs in case I get breathless?

No worries. Nervousness during a physical examination is very common. A good physician will be able to separate nervousness from the exam from something other. Some patients even get high blood pressure in the doctor's office - known as white coat hypertension.
Worrying. The nervousness you describe is caused by worried thinking. Sometimes it is important to learn to cope with worried thinking and to find a way of calming your mind. Learning and practicing relaxation skills or mindfulness meditation, taking a yoga class or doing aerobic exercise may all help.