Usually you do need to have a documented autoimmune disease, but not always.

I was recently chatting with a person who had significant SFN in his legs that was caused by Lyme. He has not been diagnosed with any autoimmune diseases. But he sought out a doctor who was brilliant and well known for getting IVIG approved. So, the IVIG was approved and his insurance totally covered it. He was on it for 8 months. Unfortunately it didn't help him at all. And his legs still burn so badly that he can't even tolerate wearing pants.