I am curious about the observations of the classroom teacher. If she is not in the classroom during the art class, perhaps she could spend some time watching your daughter and the interaction that she has with the art teacher and the other children in the class. Perhaps the art teacher's interaction with children of this tender age is very different than that of the regular classroom teacher, which is causing this reaction in your daughter. Maybe your daughter is reacting to the other children in the class. If she perceives that they are following the instruction easily and she is not, this could be the source of her anxiety, even if her perceptions are not in fact reality.
Kids can become frustrated easily.
They are also self- conscious and very aware of what the other kids around them are doing. The only way to know what is at the root of this anxiety, though, is to observe your daughter in this during this period of instruction. Because your daughter is reacting so strongly to art class, I would also consider setting up a meeting between you, the art teacher, and the classroom teacher. The three of you working together will give your more information to work with to resolve this problem. Consider some of the above suggestions in your discussion with the teachers.