Out of state coverage in University?

Hi- maybe this isn’t the right place, or the right tag, but I don’t know a ton about this and google is just sponsored ads and outdated Quora posts. Here’s the situation, I’m a ~20 y/o going to school Colorado. I’m still a member on my parent’s health insurance plan (Providence) from another state- which works out usually- I just schedule my regular doctors appointments for when I’m visiting family. But it’s a health plan that isn’t offered or covered (to my knowledge) in CO, at least not for new appointments anywhere (not sure if something like an emergency medical situation would be handled differently). Recently I’ve been looking into therapy or at least a visit or two with a psychiatrist, as I have OCD that’s been getting slightly harder to manage with full time school & a job. It seems like worst case scenario I can get on my school’s kinda shitty health plan- but then I’m paying at least an extra 2-5k per quarter. I’d like to avoid that, understandably.

Would someone be able to explain how out-of-state coverage normally works as a University student? Especially for things like Mental Health Services? I don’t exactly need to keep anything a secret from my family, I expect things would show up on their bills- they’re just busy and I would love to be able to deal with this myself (with the help of Reddit it seems). Or if there’s a way to get service transferred, or a way to cover the cost of a one time appointment? Or something… Ha Ha I’m clearly out of my depth here!

Thanks for any help!