Yes, steriods can affect the absorption of thyroid hormones. You should wait until they are out of your system, depending on how long you are on them.
I think I'd wait, just to be sure. Also, for thyroid testing I would make sure they were testing for the biologically active thyroid hormones, which are free T3 and free T$ ( that is FT3 and FT4, not total T3 and total T4). If the doctor resists, then just insist on it and don't take no for an answer. Remember that you are the customer. They always test for TSH, so you won't have to ask for that.
Also keep in mind that a good thyroid doctor will test and adjust your FT3 and FT4 levels as necessary to relieve symptoms, without being constrained by resultant TSH levels. Symptom relief should be all important to you, not test results.
If you doctor has a problem with this approach, then this link might be of use to you for that discussion. The link is to a form letter written by a good thyroid doctor who consults with patients who live some distance away. The letter is sent to the PCP of those patients, to help guide treatment.
http://hormonerestoration.com/files/ThyroidPMD.pdf