It would likely be quite difficult to ethically do such a study. Correlation alone isn't compelling: it could simply be that the underlying reason a significant share of people turn to [insert mind-altering substance here] is underlying emotional suffering, trauma, etc. and if the substance doesn't offer any improvement they end up resorting to suicide.

Maybe.

But based on the 3rd-hand reports I have read (the suicide can't/doesn't report), the self-kill-decision seems more immediate than the realization that the efficacy of the substance wasn't, you know, efficacious.