Dogs who scratch themselves or the air typically do so because of
1. Inhalent allergies to things such as pollens, dust mites, mold.
It would take skin testing by a dermatologist to confirm this problem but sometimes response to steroids can confirm it. Anti-histamines can sometime help if the itch level is not too high.
You might try Diphenhydramine 1 mg/lb twice daily to see if it helps. Sedation is the most common side effect although it can cause excitement in some dogs. If this is not strong enough, steroids are often needed. Anti-itch sprays are not terribly effective, in my opinion. Oatmeal shampoos can sometimes help soothe the skin and can be given once/week without drying out the fur.
2. Allergies to fleas are also a very common problem in dogs. They become allergic to the flea saliva and one flea can cause them to go crazy. The fleas hop off and on so you might not see them.
The same treatment for #1 is suggested but also good flea control, of course. The house as well as all pets in the house will need to be treated at the same time. Fleas are a huge nuisance and sometimes tough to get rid of...not impossible but difficult depending on where you live.
2. Sarcoptes manage mites
If this is entirely new behavior (there have never been skin issues before)or the itch level is worse than it's ever been (if there have been skin problems in the past), then Sarcoptes Mange mites is a strong possibility. These are very itchy mites; they are difficult to find on a skin scraping done by your vet but there is a new blood test (at least here in the States) which can be run.
There are a number of treatment options but which are pretty much vet preference.
This LINK provides various treatment options.
If you have chickens, then Dermanyssus gallinae which is a mite that affects both dogs, people and chickens is a possibility.