I may be wrong but I have never heard of such a shot, and given how many people are allergic to cats or their dandra (just for 4 feline house ) I would be surprised if we hadn't heard of it.

Saying this, while I don't believe there is a vaccination shot (a one off) there may be injections that help in desensitisation towards the allergens...

It would be best to ask an immunologist/allergies specialist.

Good luck, perhaps someone else can give you a better answer?!