If you have a respiratory infection, can allergy shots make you sicker?

I had a physical last month on a Monday, I was just getting over a cold and had a cough and i told my doctor this. I asked doctor if It was ok to get a flu shot, she said yes. She also recommended a tetanus shot which I did get.  On Tuesday I received allergy shots, I was getting 6 shots a week for several months.  

By Thursday I started getting a fever, had chills, headache.  On Saturday I started having chest pain and vomiting and was very weak.  I went to ER and was told I had pneumonia which I hadn't had before (I do have asthma).  My blood pressure started plummenting to 70/33 at the ER and they admitted me to the ICU because of sepsis.  I am 41 yrs old and was previously healthy.  I would like to know if the injections and flu and tetanus shots could have effected my immune system somehow.   I'm not sure If I should stop the allergy shots permanently. This was also my first flu shot. I'm now afraid to have any type of shot.