I think the best strategy, no matter what the actual problem is, is to carefully rule as many things out as possible, one by one. Try a pulmonologist to rule out a lung problem, a cardiologist to rule out heart problems, and a gastroenterologist to rule out GI problems. After that it could still be muscular, neurological, or psychological, so there would still be hope. Also, when you really focus on the shortness of breath, is your difficulty with the inhaling or the exhaling? Because lung problems almost always cause some kind of difficulty exhaling, so that can be used to quickly rule that out.