My Lily had severe allergies, and there were a lot more signs than general itchiness. She would get really bad hot spots, her skin appeared red and inflamed. That being said I don't think you can completely rule out allergies-It may not be food, just environmental (new plants, weeds, etc). Lily got fish oil to help with her skin, along with several medications and medicated baths.
One thing to mention, when Bacon goes hunting in tall grass, he tends to be itchier because his skin gets irritated by the constant poking of grass and other plants. It could be that.
I hope others can be more help, and I hope Thor is less itchy soon!