OP, I think you should definitely tell your therapist what happened quickly. Your therapist needs to know that working with you in your home will never be an option.
Grandma's rights stop where yours begin. And, vice-versa. That being said, Grandma probably won't get better no matter what conversation you have due to her elderly age and lack of therapy. Old people often do get more anxious or paranoid and less rational.
If you think she'll listen and get off your back about stuff, maybe you can try to talk to her with statements like "I know you don't mean to do that, but I do need to express my negative emotions privately to a therapist. If I don't, it feels like I'm holding onto seeds of resentment that are only going to grow in me if I don't get a chance to throw them out. Therapy is where I go to get rid of them precisely so I can preserve the happiness I have in my relationships. That includes my relationship with you. I'd rather work through a bad feeling with a therapist and make it go away than have stress between us. Everyone gets annoyed or mad sometimes, and they need a space to vomit it out without hurting anybody. If you hadn't listened, I would have said those things, felt relief, and moved on to a more positive mindset. Unfortunately, that did not happen. What you saw is not representative of all my feelings and skews towards my more negative ones. If, in the future, I have to take a therapy appointment at home, I do need that privacy". I am not sure if that would work on grandma, but maybe it'd soften her anger a little bit?
As an aside, OP, I just want you to know that your feelings are valid. Your grandma is obviously dealing with a very stressful mental illness, but you have a right to privacy and being a caretaker is stressful. Numerous studies show that it is.