I honestly believe you take the medication that is designed for the problem - depression = antidepressants; menopause = HRT; and for loss of bone density you take the appropriate medications eg alendronic acid or similar.
I am of the understanding that you need to be on a medium dose of HRT for it to have any benefit for bone density, so an "ultra low" dose may have no impact at all.
Sorry, but you seem to have this mindset that everything has to come with absolutely no possible side effects or risks, but that is just not practical. Every medication comes with some kind of risk.
However the risks you are facing from osteopenia and osteoporosis are a far greater clear and present danger than taking bone density medications. I take Fosamax and I have absolutely no side effects at all. In fact the only side effect I have is that my bone density is much better.
The choice is yours of course, but I honestly think that, while HRT may assist with the problem, you also need to be taking the medication that is actually designed for your condition.