Your doctor could be right to the extent of suggesting that your pain is musculoskeletal, meaning the muscle, bone, cartilage, and/or ligaments, especially if there is not just pain, but also tenderness to touch or shoulder movement/rotation. Such might or might not be related to infection. More likely, however is the possibility of nerve root compression, as can be seen with a bulging disc in the bony spine or stretching of a bundle of nerves in the axilla, commonly called the arm pit, called the brachial plexus. This latter could well be related to the way you sleep. Your first move should be to alter that sleeping position, to a more conventional position, unlikely to stretch the peripheral nerves.
I also have asthma, though more induced by seasonal allergies, which have been really high this year in 2008.