Welcome to the forum.
Your best information comes from your own doctor, who knows you. Forums are just a bunch of lay people with different experiences.
Allergy shots are sub-dermal, just under the skin. They contain a bit of allergen to help you build up your own immunity. Steroid shots are very different because they are meant to stop inflammation.
Your doctor can tell you which you need.
I take allergy shots and have gotten rid of my nasal allergy symptoms.