What sort of doctors have you seen and what tests were run?
Lots of allergies have no tests, things like sulfites, for 1. Sulfites cause migraines in some people. Of course there are many other things that cause headaches and not all have anything to do with allergies!
The best way to find what's going on is to keep a good, complete journal/diary. Use the search box for lots of threads.
Of course this is not a diagnosis, and I'm not a doctor!