Nadia, what you describe has the hallmarks of nipple vasospasm rather than thrush, and it is worth asking your GP or a lactation consultant to look at it with that in mind. I cannot diagnose it from a post, but a nipple that blanches white shortly after a feed, burns, then turns purple or red and throbs as the colour returns, and does it again after a shower, is the classic pattern. Thrush does not usually cause that clear colour sequence, and two weeks of treatment with no change at all is another clue.
Vasospasm is a tightening of the small blood vessels in the nipple. The two big triggers are cold, especially cool air on a wet nipple the moment baby comes off, and nipple damage from a shallow latch, which you have had. So the first steps are exactly what Priya and Jess have said. Have a feed watched, ideally by an IBCLC or a breastfeeding counsellor, so the latch can be deepened; how to get a good latch shows what to look for. Then keep warm: cover the nipple with a warm, dry hand or pad the moment the feed ends, feed somewhere warm, and stay covered after showers. Dry warmth tends to work better than damp.
If it stays very painful despite that, go back to your GP and name vasospasm. There is a prescription option doctors sometimes use when warmth and latch help are not enough, and it is considered compatible with breastfeeding, but whether it suits you is a decision for your doctor, not a forum. Our new guide to nipple vasospasm explains how to tell it from thrush and what usually helps. And do mention it if your fingers or toes ever go white in the cold, because that is useful history.
