Allergy Shots and Immune System

I'm a 49 yr old male whose currently on my 5th (yes that's 5th) round of allergy shots since taking them on and off starting in 1994.  I test highly allergic to grasses, trees, and to a lesser degree molds, dust mites, cockroach.  My only symptoms are forehead/facial pressure, mental fog, and fatigue.  My sinuses are clear from the 2 previous sinus surgeries back in 2002 (latter surgery corrected the 1st one) and I have tried numerous other testing including candidia, epstein barr, etc. and all were negative.  Even tried some antidepressants for a short period out of "nothing else to try" and it did no good for symptoms. Went to nuerologist and he even had a spinal tap and MRI brain scan done that showed everything was normal so I'm convinced my symptoms are related to something with immunity or possible food allergy.  I do know that my body apparently has not built immunity to the previous shots as I was tested again before the latest round started about 2 yrs ago that I am currently on and they showed that I was still highly allergic to all allergens; like I'd never taken shots in the past.  The only other thing that could be related to my body not building up immunity might be the fact that I do have a  cold sore maybe once every year or so.  Is there any evidence that HSV-1's effects on immune system might hinder body from building up immunity to allergy shots?   I don't know what else to do; only that these symptoms have put a major dent in my career and personal goals.  I frankly feel rotten most days.  Have no clue where to turn from here other than just try and live with these symptoms.  Any suggestions???