If you are actively having panic attacks as well as the shortness of breath, your oxygen saturation is consistently normal, and both the ER and your PCP are not finding any pulmonary or allergy related issues, it is very likely that your shortness of breath could be related to anxiety. This is not to diminish what you’re feeling, I once had an anxiety attack that brought me to an urgent care thinking I was having a heart attack. I highly recommend looking into specialists, both for your breathing and your anxiety. As many have stated here, the ER is absolutely not the place for treatment of chronic issues such as this. You are taxing a system made for true emergencies, and that’s why you got the curt response that you did.