What exactly do they do in an allergy test if they aren't sure what you're allergic to?

Confirming diagnosis. Allergy testing is used to confirm the clinical suspicion of allergy. The allergens tested should be allergens that are present in the local area or in the case of food allergy is based upon the food consumed that caused a reaction. Allergy testing should never be done to "see if your allergic".
Blood and skin prick. A blood allergy test measures ige response to allergens. These responses are graded from 0 to 6 where 0 is no reaction and 6 is maximum of ige to allergen. The skin test is where a small amount of allergen is injected into the skin and if there is 2mm swelling after 10 min. It's positive.