I don't think on these sorts of issues anything can be an adequate substitute for face-to-face consultations with a doctor. However, the one thing I did think when I was reading your post was that the symptoms you seemed to be describing were similar to chronic hyperventilation, either linked to anxiety or high intensity exercise.
When you're anxious (and this would be increased by caffeine intake), you have high levels of adrenaline in your blood stream. This increases ventilation and also depth of breathing. If you get used to deep breathing (for whatever reason), it can tick over into hyper-ventilation. Yawning or sighing is often a tell-tale sign that you are hyper-ventilating. Dizziness, fatigue and, paradoxically, a feeling of difficulty breathing are also signs. This might seem counter-intuitive, but the effect of hyper-ventilation is that the body is overwheled with oxygen, which disrupts the balance of oxygen-carbon dioxide. Breathing into a paper bag is one way of reducing the symptoms when they come on. But, long term, you have to find why you are in a state of high alert all the time.
Exercise might have a similar effect, if you are used to hyper-ventilating - particularly when you are working with oxygen debt. In essence, you might be overshooting how much oxygen your body needs putting back. I used to get this when I was doing high-intensity, anaerobic track work or weights; and I would feel like I was struggling to breathe, but was in fact hyper-ventilating. I'm convinced what people think is exercise induced asthma is actually over-breathing making them feel like they have asthma.
You doctor will have presumably tested you with flow-metre? This will tell you whether your lungs are working at normal capacity.
Another thing: some people experience anxiety when taking steroids. If this is true of you, then steroids might exacerbate the symptoms of hyperventilation. Of course, you need to make sure you are absolutely healthy before taking steroids, so this is just my take on what could be going on, never having met you.
Stay safe bro.
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