Questions About Fmla Leave (mental Health Related), Edd/sdi, And Health Insurance [california]

My dad passed away suddenly after a month long hospital stay. It was a horrific experience and I developed panic attacks from being at the hospital. I expended all of my vacation and sick time to be at the hospital while he was alive, now I'm on unpaid leave to get my life together. I went to see a psychiatrist for the panic attacks and he put me out on mental health related disability (FMLA and eligible to apply for EDD/SDI). My work tells me I am not eligible for insurance during this period, but I have the option to buy COBRA. Is this legal?