Exactly what is the allergy shots programmed to fight?
I'd say you may have to consider going to home-cooked food but with the huge variety of specialized diets out there, including vegetarian diets and non-grain foods of several brands, it seems you should be able to find one that would be healthy for him and one that he would eat. You do need to be consistent with those, however, and no treats other than those matching the food in ingredients totally! (ie, maybe canine sweet potato "chips" if he's on a veggie-only diet).