I have sle, fibromyalgia, and depression I'm on meds but now I'm having pain in elbow and baby finger getting numb. I don't know what kind of doctor to see. Please advise?

Primary Care. Start with your primary care. They can look at your symptoms from the perspective of your complete health. They could then refer you to a specialist they trust if you need additional care.
Osteopathic Doctor. Your complex issues should be addressed both separately & as a unit. Chronic disorders often cause depression. All ailments & your physical & emotional response to them should be addressed. Most drs. Might recommend a rheumatologist & psych. A good do interested in chronic pain & manipulation might be a better choice; they look at the whole person & the elbow/finger pain might be of spinal origin.
PM&R. I would start with a physiatrist (specialist in physical medicine and rehabilitation.