The finding you cite could be a matter of association rather than causation, but in any case is an illustration that it's also possible for allopregnanlone levels to be lower than normal. In that case, it makes sense that pregnenolone's action there wouldn't be helpful.
The more important thing is how it makes you feel. It's use has no measured health benefit such as reducing cardiovascular risk, etc... the only reason to use would be if you feel better. Since you didn't, then it sounds like it may not be for you, though a single trial of course isn't conclusive.
DHEA does have significant conversion to testosterone and estradiol. As you've had your blood levels checked and your gynecologist approves, that sounds suitable.
Trimethylglycine, often sold as betaine, often works well for depression. It works similarly to SAMe as a methyl donor, but is much less expensive. Example usage is 2 g/day.