If an allergy injection ( I will presume steroidal), than that does exclude allergens in a big way, because typically steroids shut down inflammation fast! I wouldn't be too sure it was not the anal glands. When a dog feels pain they will lick/chew approximate to the pain. The fact that your dog is licking his tail raw concerns me.
More serious problems can now be considered if you want to exclude the top two most common differentials. That leads me to think of either a deep pyoderma or skin infection which would require antibiotics and medicated shampoos.
And then there is the possibility of deep pain secondary to degenerative arthritis in the lower lumbar spine or Coccygeal area of the vertebrae.
On the bottom of the list, we have cancer of deeper underlying tissues causing pain discomfort.
Mites can definitely cause intense itching, but typically the tail head is not a favorite distribution site for either scabies or Demodex.
I sense your frustration about not getting a quick fix for your pet. You must understand that there are many entities that could cause the syndromes your dog is displaying. Your vet did what most of us do based on history and clinical signs... Treated for allergy related dermatitis. That it showed a poor response means that more diagnostics need to be done. We are doctors, not magicians. We can only intuitively presume so much before we must rely on scientific fact to help support our diagnoses. It can be extremely frustrating for us as well when our clients only want the problem to stop immediately, but aren't willing to invest in the tests that need to be done in order for us to find the proper treatment.
I stand firm in checking the anal glands and the prostate. Sorry, I don't believe anything until I see it for myself :) I would also consider having a skin scrape done, a culture and sensitivity of the affected area, and possibly an x-ray of the lower lumbar/coccygeal area to see if there is any evidence of underlying disease in the bone.
As a professional, I do think your pet is likely uncomfortable, and do wish for you that you find the answers you seek. Just realize that they do not come fast, cheap, or easy.