Ah the ongoing itchy horse problem. My barn is full of horses rubbing themselves raw. One horse has actually been tested and is allergic to everything under the sun, and gets certain shots at different times of the year. My moms horse looks bad in the summer, and we have come to the conclusion she is allergic to bug bites, she doesn't get to go out anymore, except for a couple of hours when it's not so hot out. She gets benadryl in the morning and night to help her. My friends horse, is on benadryl, has just had a depo injection, and was on dex powder for four days, and he is still rubbing himself raw.
You could always try benadryl if the itching doesn't get better. I don't know about the pinworms, but you could also try some medicated shampoos maybe has a fungus? I'm not sure, it seems like this year is horrible for itching horses.