This could be so many things. Or a combination of things.
My advise: Start simple with a vet visit. Rule out mites or mange.
Keep using the coconut oil. It can take days to weeks to see the benefit. Try to reduce the bathing as it dries the skin out. If you must bathe use a good conditioner. I really like Bio-Groom Super Cream coat Conditioner. Or, give Levy a good rub down with coconut oil, working into his fur and down to the skin.
If fleas are the problem: you may have to use a topical to get them under control immediately (some on here will have a fit with this advise). you can also try DE (diatomaceous earth) to treat your dog and your house and yard. DE is pet/human safe and homeopathic. There are several threads on this.
Having a dog with a lot of food sensitivities , my best advise is this:
If you think it is food don't try to guess, TEST. I suspected chicken and pork were issues for my girl. I was right. BUT, I was totally thrown when I found out she was sensitive to peanuts, which she was getting peanut butter several time a week. Salmon sensitivity also surprised me as I was giving salmon oil daily to keep her skin and coat healthy and shiny.
You can have your vet test or you can send for the NutriScan test (the one I did).
NutriScan Food Sensitivity and Intolerance Test for Cats and Dogs
I'll be honest it is not cheap. However, I wasted a lot of money on different foods trying to figure it out on my own with no good results. Ended up food testing anyway. Testing up front will save you so much money in the long run. And it will save you and Levy from months of itching, hair loss and misery.
One day at a time. Keep a log or diary of symptoms/improvements.
Don't despair...We are here for you and Levy! Best of Luck!