My yorkie has severe vaccine induced (pretty sure) food and seasonal allergies. Protocols for vaccinations are finally changing and leaning away from yearly vaccinations. I use titers instead, although much more pricey.
Food is a big issue, as she is highly allergic to flax & fish oil, which you will find in almost all foods no matter the "quality". Grains can also be allergy inducing, especially with all the GMOs out there. Whenever I do find a food that works, they change the recipe to add flax since that seems to be the "in" thing these days. My Dermatological Vet says it is one of the top allergy causing ingredients.
Probiotics (caninedophalus) have been helpful, and when they get really bad, allergy medications. There are quite a few you could try if benedryl doesn't work (it doesn't for mine). Bayleigh responds best to "chlortrimeton" and prescription "atarax" if it gets real bad, I've tried them all.
Shampoo with natural and minimal ingredients (oatmeal can also be drying, if they have a dry skin problem). Petco has one that is very limited ingredient and has no "hydrolized wheat protein". My daughter now makes our shampoo, a simple castille liquid shampoo. If she gets too bad, I will occasionally use a cortizone shampoo, but really prefer not to. You should actually bathe your allergy dogs more often, cool baths can do wonders for external allergens as long as you use a very mild shampoo. During peak allergy season, I also wipe her down with a cool wet paper towel before bed each night.
Best of luck, I feel your pain!