I work with college students all the time and if I were in your position I would let someone of authority know immediately. If something happens to her, they might look at you and ask why you didn’t say anything before x happened. It saved your butt and also hers because she clearly needs help. I also don’t think it’s appropriate to talk to your coworkers parents, that’s not your decision to make. With that said, the therapist themselves will most likely let her parents know of this situation regardless. If you can, write an email to your boss or HR letting them know of the situation. In this way you will have documentation that you let somebody know immediately. We literally just had a huge meeting today on reporting stuff like this to HR or the sherrif. Granted, I believe they were more persistent we told them about issues with students and coworkers because I work at a college, and we now have to worry about school shooters. Please save your ass and her by letting your boss know.