Well definitely don't give up. If nothing else get the book "Knock yourself up" where she talks about doing exactly that using at home insemination. I was fulling planning to just do that starting in Jan but decided why not just visit a fertility specialist to see if they could do tests to see if I was even fertile and then got the high FSH results back.
The insurance I have covers 'diagnosis only' but won't cover any fertility treatment or correction of fertility issues, etc. The fertility specialist I saw is listed under my insurance as covered as both a fertility specialist, endocrinologist, and ob/gyn. For the billing purposes anyway they didn't bill as a "specialist" but rather as ob/gyn (I guess) - which means the co-pay for me was $10 instead of $25. You might check with your fertility clinics near you to see how they bill and if your insurance would let you see them directly therefore eliminating the referral - or just find a doctor that is both?
The other thing my insurance covers is bloodwork only if done at Quest, I didn't know this the first visit and they did bloodwork and now I have to pay for that, so check on that before you go as well.