Hello,
This sort of side effect of allergy shots is less likely and not documented but if you are having such symptoms, it can be due to immune system reaction
. Eat a healthy diet and take some antihistaminics like Benadryl. You can also take vit B6 and vit A and E which are good for hair and skin. Try medicated shampoos like those containing antimicrobials. If your hair is colored, don't use products with selenium
If the symptoms persist please consult a trichologist for the confirmatory diagnosis and treatment.
It is very difficult to precisely confirm a diagnosis without examination and investigations and the answer is based on the medical information provided. For exact diagnosis, you are requested to consult your doctor. I sincerely hope that helps. Take care and please do keep me posted on how you are doing.