I'm only dealing with fatigue from old-fashion chemo for my pancreatic cancer, but my 85-year old dad really struggled with it last year while on immunotherapy (Opdivo + Yervoy) for his mesothelioma.
First thing is to make sure your blood tests are checking for anemia. There are several types, and I'm not an expert on any of them, but a lot of people (docs included) basically only check for iron-deficiency anemia. Ask about other types and remedies for them as well.
Both my dad and I both had below-normal hemoglobin, but never "low enough" to justify a blood transfusion under typical criteria (< 8.0) which is rather archaic and arbitrary. Some doctors are now treating the symptom rather than the level and getting good results.
In my case, the DNP agreed that one person's 9.0 might be another person's 7.0, and that if you've been chronically low for a long, long time, you're going to feel pretty crappy. I was living on 2-3 big mugs of coffee every day before getting Ritalin prescription, which helped (cut my coffee intake in half) but really only solved the mental fatigue problem, not so much the physical.
One palliative specialist cited some studies from MD Anderson that found exercise was better than any drug for fatigue. But, in the classic Catch-22, if you're too wiped out to even think about exercise, it's not gonna happen. I've always been a fairly athletic guy, but I've lost a lot of muscle mass and endurance. Even a short jog or light weights leave me winded, because, apparently my muscles just are getting the oxygen they need due to the low hemoglobin.
After doing everything they asked me to (Ritalin, job change, reducing chemo dose), they finally relented and gave me a blood transfusion. I felt like Superman for about 2 weeks. The effect wore off and my hemoglobin didn't test much higher 2 weeks later, but the feeling good part was worth it.
That was January, and I'm about due for another one. I've added some non-prescription hyperbaric oxygen therapy to my regimen, and that seems to be helping a little, but might be confirmation bias. I haven't yet had enough hyperbaric treatments and hemoglobin tests to establish a valid correlation, but I'm working on it. My tumor marker increased and my tumor sizes increased while I was on the reduced chemo dose, so I'm not going to recommend that for anyone. It seems unfair they would ask you to choose between treating cancer (fully) and treating cancer-related, therapy-related fatigue instead of automatically just doing both.
TLDR: Get blood tests for anemia, try to exercise, inquire about a stimulant like Ritalin for the mental fatigues and a blood transfusion for both mental and physical aspects of it.
It looks as though you have tried many different ways to improve fatigue. Are you eating enough protein? Have you tried seated cycling or brisk walking instead of running? Acupuncture helps too. Hope you find your way through this and are able to maintain your health through treatment.