With your PCOS you are in a contstant state of hyperinsulinemia.....insulin, being anabolic, you will always have difficulty losing weight. You are actually in a state of insulin resistance most of the time. I have women who, though they do not have diabetes, their problems get alot better with glucophage or metformin, now approved for treatment of this disorder. (Women with PCOS usually have difficulty conceiving and glucophage does also help regain their fertility by reversing this relative insulin resistance and they become pregnant.)
You are smart to be eating right and excercising. You may want to ask you doc about a similar substitute to paxil which does not have the weight gaining effects such as lexapro, effexor or celexa.