I think it's a case of the two things each accentuating the other, if I get what you mean by poor coping skills. In other words, you can make bad choices for a long time and sort of get away with it if you have good luck with your health - but once you start to have some bad fortune with your health, then your bad choices magnify and accentuate it and make it more difficult to either deal with or recover from, the illness.
A couple of perhaps somewhat related thoughts:
Back in the latter part of nursing school
we had psych and public health in successive semesters. During the public health part, I spent a lot of time with very poor families who were not dealing well with life in various ways. I also spent some time with the correctional nurse at our county jail. During the psych semester, we spent time in both inpatient and outpatient mental health settings. I was struck by the fact that the folks I saw in all those settings were largely the same people and came to believe that what they all had in common was an inability to deal successfully with life. The folks I saw in the mental health system also were poor and usually had some brushes with the law. The folks I saw in the jail were also poor and had some mental health issues - etc. Whether they were labeled as mentally ill, or criminal, or simply chronically poor was largely an accident of what system they came in contact with first.
Second thought: I've studied some history. During a great deal of human history, the vast majority of people had very few choices available to them. Most people lived in smallish communities and made their living in the same way everyone else did around them, often in the same way as their father and grandfather. Most people saw relatively little cash. If you were at the low end of the economic ladder, you worked as a farm laborer or as a workman in a shop owned by someone else. You did simple repetitive tasks and typically got your pay in room and board and a very small amount of cash. If you took your weekly pay and spent it all on drink on Saturday night, you still had a place to sleep and food to eat and a job to go to the next day.
Now, even the poorest, lowest paid people have to cope with a lot of choices, make a lot of decisions, often in the face of very sophisticated advertising trying to get them to make bad decisions - buy things they can't afford, spend their money on gambling or alcohol, etc. And a certain percentage of folks are just not equipped intellectually to cope with the choices that modern life presents. They aren't bad people. In a simpler society they would have gotten along fine. But they can't handle the modern world. And, as the world continues to be more complex, the social safety net continues to erode, as wealth becomes ever more concentrated and as the value of simple jobs declines, their lot is not going to get any better.