We have lots of members here whose yorkies suffer allergies, including mine...especially my Marcel. I fully blame it on his immune system being pummeled right when it was developing...ages 4mths-10mths. He had giardia twice and then suffered after for months with the after effects. My Wylie also has itching/paw issues during certain pollen times as well; and we live in Arizona where the pollens are just the worst (in the desert).
Anyway, we finally went to a Vet Dermatologist and they are AMAZING. I've learned a ton in the process. I believe that if the allergies are seasonal - then treat the season with something like Temaril-P or steroids if they work and/or OTC meds if they work. If the allergies are mostly year round, then I believe in trying Atopica and/or allergy testing and shots. Atopica was a miracle for Marcel - he does great on it. He used to wake up at 1am to chew/lick his paws, but no more when on Atopica
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For allergy dogs, I think being on a high quality / low grain food is important, even if there are no food allergies. Dogs can be sensitive to grains and white potato, and since their immune systems are already turned up, it's important to avoid other potential/known allergens. Many allergy dogs are on grain-free diets/kibbles etcetera. Have you tried grain free?
I hope your kiddo does great with the shots. Btw, they can do the shots and still be on Atopica, so it's something to consider if you're still not seeing symptom relief. Keep us posted on the progress!