Depression isn't selective. Doesn't matter what we look like or how much money or social status we have. Look at Robin Williams. He was a millionaire. Well, he's dead, isn't he? He was totally depressed.
There's no relation.
Depression is a mental illness and does not discriminate - it can affect anyone. Young, old, rich, poor, man, woman. It doesn't matter how talented, loved, successful or beautiful you are. Anyone is vulnerable.
There might be a connection. If a woman is gorgeous, she just might be thinking, "Do people like me because of who I am, or because of what I look like?" She may be despondent over the dishonest intentions of men.