ChickChickChicky, these are great suggestions for mild allergies that are just starting. The OP seems to have a very severe case of allergies, severe enough that she's questioning the quality of her dog's life enough to consider euthanasia. Benadryl works for some dogs, and not for others, just like it works for some people and not for others. It doesn't do much for my dog's seasonal allergy itches, and he gets 3 or 4 whole pills 3 times a day when I do give it, and it does not make him sleepy at all (although we do often recommend owners who need a mild form of sedation for their dog use benadryl for this purpose because it does make many dogs sleepy). The dose for Benadryl in dogs and cats is 1mg/pound of body weight at least three times a day. Unless you have a dog that weighs less than 5lbs, 1/4 tablet is not enough to do anything. An all fish diet is not good for a dog, but a fish-based diet is usually great for dogs with skin issues. All kibble needs to meet AFCO standards for a complete and balanced food, which means that they have all of the important nutrients that we know dogs need in appropriate amounts. The biggest problem with fish-based diets is that they tend to cause dogs to be very gassy.
Love My Critters, I did not see allergen testing listed on the short list of tests the vets have run. Greer laboratory does allergen testing on blood samples. It's a bit expensive, which is why the vet I work for will do skin scrapings, topicals, and at least a 3 month food trial before even sending it out. But they can test to see what exactly the pet is allergic to and they can compound injectable allergens to help desensitize the dog to the worst of their allergies. We've had a few dogs go on allergen shots and for most of them it has made a huge difference. Like I said, it's a bit pricey, but after all you've invested in her already it's a drop in the bucket.
Another thing to consider if the itching is so severe that it's causing weight loss even on steroids is a skin biopsy to help rule out auto-immune disorders or cancer.
With the weight loss, you might want to consider that there may be another chronic underlying condition besides the skin issues. I'm sure at least one of 3 vets would have done it already, but has she been tested for hypothyroidism? How about having her TLI, PLI, Folate and/or Cobalamine checked? IBD? Finally, the last dog we had with really really severe skin problems we were even considering doing a blood screening test for lymphoma (although one issue with that test is that the dog can't be on steroids or it will cause the results to be inaccurate). Grasping at straws, yes, but the owners were pretty desperate for answers, and quite frankly so was the vet.
One other thing that comes to mind, does she seem less itchy after a bath? A lot of our pets with severe allergies do better when they get frequent baths (like weekly in some cases) and topical conditioners with antihistamines in them. It's not going to solve the problem, but it might give her some relief.