Hi Kari, you're going to need therapy to recover from your therapy!

How long does your doctor recommend you do the twice-weekly sessions?
Do you have any idea what caused your cubital tunnel syndrome (CuTS)? One important aspect of conservative treatment is trying to find the root cause, then alter your behavior to help prevent further nerve irritation.
For example, if you got your CuTS from sleeping on bent elbows, then you should wear a splint at night to keep your arm relatively straight.
Or if you got CuTS from using the computer, then you should switch to an ergonomic keyboard and vertical mouse.
I've heard mixed reports about nerve gliding exercises. Regardless, I don't think painful exercises are the answer. The ulnar nerve usually does not improve by irritating it.
Good luck with your therapy.