Breathing Exercises when Bullied

You are absolutely right about deep breathing. It sounds like your adrenaline starts going crazy because of the fear of being bullied and the fastest way to calm down adrenaline is more oxygen. It's important to breathe from your diaphragm and not from your chest. I would slowly bring in as much air as you can, hold for a second, then slowly blow out the air until there is no more left. I would repeat this a few times.

You can also make yoga or meditation a part of your lifestyle so you have the breathing skills and calming skills ready to use regardless of what stressors are present in your life. 

As for your supervisor, having a come back isn't so important. You can practice standing up for yourself in front of friends or family. You can say something to the affect of not treating you in that manner. You don't have to play the game with him but rather say you would appreciate being treated professionally. You can get advice from those you trust on the wording that feels most comfortable to you. You can roll play with friends or family until the words roll out of your mouth. You then don't have to worry about what words to use when you are in front of your supervisor.

It's too bad we can't just be kind to one another. Hopefully your supervisor will back down as soon as you get comfortable standing up to him. I wish you the best with your supervisor.