it sounds allergy related. i get really bad all over itches at times, can be whilst/after training, after bathing or just come up randomly. i also get very bad hay fever which i think is connected to the itching. i take injections of a corticosteroid called triamcinolone (kenacort) and this pretty much stops all hayfever and itching and works for about 3 months or so.
if you only get itching whilst doing cardio, maybe just taking an antihistamine 30 mins before may do the trick.