Really itchy vulva, clitoris and thighs, had treatment for yeast infection which hasn't worked what else could this be?

Pruritis. This mean itching and it could be due to anything. Would check first on the potential for your reacting to medications you may have been using to treat the yeast infection, but the best thing to do would be to see your doctor and have them do a thorough history and exam and diagnose you appropriately. Best wishes that this clears up quickly.