The cysts are likely a food related thing as everyone said above. I think that soaking in Epsom Salts is the usual treatment (plus a food change). That looks a little like demodex to me. You may want to go and have the vet do a scraping to make sure.
As far as the allergy test, since you have been struggling with finding the cause, the allergy test will save you time and money and him a lot of discomfort so I think it would pay off in the long run.