I don't think there's anything inherent in construction that is causing a higher suicide rate.
Construction labourer is a job just about anyone can get and male dominated.
I've hired some people who seemed like they weren't in a great place. It's low skill and it doesn't hurt to take a chance on someone and hope the stability will help get them on the right track.
I haven't had any coworkers take their own lives, but I could see someone at the end of the rope being more likely to find a job on a construction site instead of a dentists office