Do inhaled steroids work to give allergy relief?

Yes. If you mean inhaled nasal steroids, yes. They are probably the best and most effective way of treating allergic rhinitis. I use them first line and use oral antihistamines as "rescue" medications.
Inhaled Steroids. Inhaled steroids are primarily for asthma and copd. Intranasal steroids are used for allergy relief. I am sure it is possible that some of the inhaled steroid gets into the sinus passages but the quantity is minimal and likely not enough to really make a difference.