I moved my claustrophobic character to one of rich hoses in west Loisville, with access to river.
I used sledgehammer to demolish internal walls on 2 floor but still gets panicked.
Room I created is surely bigger then apartments in Rosewood (those above shops) I stayed at the beginning of this run.
I conclude that claustrophobic doesn't update after demolishing internal walls.
This is very minor issue, but still it would be nice if it got fixed.