Allergies can also lead to COPD. According to the internal medicine specialist who teaches our equine medicine class, there is very little success rate with the allergy testing and shots, especially once the disease has progressed to the point where it is no longer reactive allergic airway disease and is diagnosed as COPD. It sounds like you're doing the best you can, she recommended everything you mentioned and I would add making sure you have her outside while the barn is being cleaned (lots of particulate in the air during stall cleaning).
Did your vet talk to you about prognosis? This is a chronic and progressive
disease, the chances are, even if you get her back into riding condition now she will become worse over time. Some progress faster than others though.
COPD is starting to be recognized as two different syndroms: Recurrent Airway Obstruction (RAO) and Inflammatory Airway Disease (IAD) in case you wanted to look up some more information on it.