did you have the ADD and anxiety prior to the mirena? MANY women on this forum are put on antidepressants (myself included) to treat those symptoms without knowing they are caused by mirena. If you already had them, mirena could also make them worse. I haven't heard anything about interaction between the two, but that doesn't mean it can't happen.
What did your doc say when he couldn't find the strings? I would hope he would have investigated further. Your mirena could get dislodged and in that case you could definitely get pregnant.
As far as your symptoms-I am sure there are an AWFUL LOT of really messy houses on this forum, LOL! Fatigue, hunger and peeing alot ARE mirena side effects. (I personally couldn't get through a soccer practice w/o going into bathroom panic.)
Try making your coffee before bed, I love my automatic setting ;)