I also did not get relief from epidural shots. I tried two just to make sure it wasn't placed in the wrong spot. It happens.
I would try another if you feel up to it. Sometimes the doc just doesn't get it in the right spot. Just think about having to pinpoint something so small in a tight area, that theoretically you can't see. Oh you can see it in the floroscope but even then its guessing.
If he caused you pain....let him know....he needs to up the local anesthetic.
If worse comes to worse talk to him about radio frequency abalation. If he does it or not. If not, who does. This burns the nerve for up to a year or more. It interrupts the pain signal to the brain. I have had it done twice in about 18 months and I may need to get it again soon. It has been my only relief for my hip and leg pain.
Good luck.