
I understand exactly how you are feeling. I had a GSD with no immune system also with Demodex. This was 10 years ago so medicine will probably have advanced in those years.
She had all the baths twice a week, had cream to put in her eyes to protect them from the fumes. They shaved her all over to enable them to get the aludex directly on to her skin, but it still did not clear up.
She lived on antibiotics virtually non stop for 6 years but still she had weeping sores that without the ABs could cover her body in 2 days. The Vet. Hospital at Bristol Uni told me that the mites were so deep in her body the baths could not reach them, so they took scrapings from her sores and created a vaccine to inject back into her to try to treat her this way, but again no joy.
She became allergic to dust mite, wet grass and mud and I couldn't even hug her because of the sores. I even tried an animal healer and acupuncture to see if it would help.
At 6 years we decided she had suffered enough and put her to sleep, the Demodex had won the fight. She was the happiest and most loving dog and did not deserve this.
I feel sure there are more advanced cures available today and wish you all the very best of luck, you may have a battle on your hands, but I'm sure in this day and age they will have many more ideas. Please please, if you do not have a vast improvement quite quickly with the baths, don't leave it until the mites burrow deep into your dog, ask to be referred to a skin specialist asap.