I am also in a long distance relationship of 9 months and about 250 miles. They are hard! And, like you, my boyfriend has had some difficult relationships with women most of his life. But, we did spend time getting to know one another and our boyfriend/girlfriend status didn't start up until we met in person about 2 months ago.
What I would say is that in a long distance relationship, you have to take care with it, with what you say to each other, and how you keep the relationship going. Saying things that damage the relationship through anger...especially when you can't see the other person at the moment...you know? Those really deal major damage, the hurtful things that are said.
I wonder if there would be a way for you both to 'take some time' to cool down when emotions run high? It seems he values your relationship, and he might be willing if you are willing, to come up with a plan for when he or you gets jealous, angry...anything like that.
That is probably oversimplifying, but a long distance relationship must be tendered carefully until you two are together in person. If you think of it, you are setting future standards for how you deal with problems in person.
And finally, there are two ways to look at an upsetting statement like the one he made about shooting himself. That was a big red flag to me. It shows a lack of discretion and self control, and it shows that he is verbally trying to express his pain in a destructive way. It can be controlling...controlling and manipulating you. Don't forget that. Next time he says something along those lines, you might see if he is a controlling/manipulating person OR if he's just expressing his misery and sadness, by getting him to redirect misery and sadness. You could try "Sounds like you feel so very down and sad, honey!" or "Gosh, I can tell how upset you are!" My words sound goofy typed out there, so you'll have to find your own voice.
If you can get him to express it other ways, or if he can tell you understand and he can continue without comments of self harm, great! But, if he can't, I'm telling you that he's manipulating you. He may not be aware of it, and lord love him....but you aren't the fixer of that problem. He is. Maybe that worked with other girlfriends, but don't let it be something that causes you to compromise what you think and feel is right and comfortable.
Good luck to you, my dear.