The OP's behaviour has all the appearance of being compulsive and problematic, I would have stood up much earlier and enjoyed the gains, but he can't stop, wanting more and more when he has already made considerable gains.
Your goal is just too high. Maybe you are being megalomaniac. Since it's a game of probabilities, they are against you and it's really likely you are going to fail over and over again on your desperate attempt of turning few thousands of dollar into a million. If you don't want to lose money, just decrease your final goal, but if you still want to keep that goal intact, don't feel bad about losing money, because you have to keep in mind you are trying a hardcore challenge which comes with extreme risks.
I think this is the question. You set your goal too high for your starting bankroll. Either you should set a lower goal or you should start from a higher bankroll. But it seems to me that even so, the kind of personality he shows would lead him to keep betting even if he got the million.