You should never get an allergy shot for an allergy that you do not have. This is because the allergist that is performing the shot will need to verify that you have the allergy through allergy testing prior to giving you the shot. Allergy shots
can't give you an allergy.
Allergy shots are a form of immunotherapy that is used to help people with severe allergy symptoms who have not been helped by other medications such as antihistamines. An allergen is the substance that someone is allergic to. An allergy shot is actually a small dose of the allergen itself. The dose is low enough not to cause a major allergic reaction. Each shot has a slightly higher dose of the allergen which allows the body to get used to it a little at a time. So if you aren't allergic to the substance being injected, you will be neither helped, nor hurt by the allergy shot.
I suggest that you schedule an appointment with an allergist. He or she can explain to you the process of allergy testing and all the first line treatments for allergies. If you have tried and failed all the first line treatments for allergies, then maybe allergy shots are the right move for you. Good luck.