Thank you everyone for your replies.
Thor is on Halo - originally Chicken flavor, but I am trying Salmon now. There is no corn in it. I'll try the coconut oil as well.
He definitely seems to be itchy all over. I'll give it another week I guess, and see if it starts to subside. I'd feel better if he seemed at least to be getting less itchy over time, but for now at least, it seems about the same.