According to The Sun, Sally had to fly thousands of miles to be by his side after she was informed that he had suffered mysterious wrist injuries.
Sally, 44, who arrived here Portugal, is trying to persuade Gazza, 41, to admit himself to hospital.
It is believed he had suffered cuts to his wrists during a drunken bout of depression.
Cops and paramedics were called to the ex-England star's Newcastle home this week but he was so drunk he could not explain his injuries.
A pal said: "He's in a shocking state but says he won't go anywhere without Sally."
Gazza met photographer Sally this summer while he was on holiday near her home in Portugal.
Gazza threatened to kill himself two months ago.
He has previously been sectioned twice under the Mental Health Act.