Nope, I've never heard of itchy feet being associated with Lupus or other auto-immune disease. However, itchy skin can be associated with auto-immune disorders. So in your search for a solution, I'd look more for itchy skin treatments rather than focusing on the itchy feet side of things.
You may have some inflammation causing the itching, which would generally be treated with a dose pack of prednisone.
Lynnwood, Lupus & Sjogren's Moderator, Dx: 2000DIAGNOSING LUPUS & HW's LUPUS 101
"Life is far too important to be taken seriously." - Oscar Wilde