Mental illness doesn’t disqualify you from being asexual or aromantic. If these concepts seem to fit your life, or help you feel happy and comfortable with yourself, then you’re welcome to identify that way.
I’ve never heard of depression changing a person’s sexual/romantic orientation (though I know it can decrease sex drive or motivation to find an intimate relationship). But frankly, even if it did have an effect, it wouldn’t make your identity any less valid. Your experiences are no less real or important just because you’re depressed. You have the right to decide what your experiences mean to you and what your orientation is, and depression doesn’t change that.