Get a second opinion with a different vet's office. Sometimes allergy tests are not too accurate, and a second opinion does not hurt, especially if you are having to go through something that you do not want to do in the first place.
I am sorry that you have to go through this. I have been a nurse since 1980 and I can give people shots without a second thought...but I coulld not do it on a doggie that I love, unless I was up against a life and death situation. At least I would not want to do it, so I can sympathize with you.
I hope you can find some relief for your poor itching little friend.
Sue & Cricket