I got some from Costco and have a rash on the inside of my elbow and my underarms.
More likely to be a rash from a contaminant. Do yourself a favor and buy something more refined than what you get at costco.
Fish oil is a natural component of the HUMAN body, so the name is kind of misleading. But your blood vessels, red blood cells, platelets, and nerves are chock full of both EPA and DHA (or should be). So I find it extremely hard to believe you're allergic to either EPA or DHA itself.