Talk to people on the chain of command. Start with your boss, then your boss' boss, and so on until you get yourself heard. Hunt down anyone who could possibly be involved with Human Resources stuff. Call the Better Business Bureau- ask them what you should do. If you don't get anywhere with your company, call a lawyer and ask what your options are. Buying your own gloves is BULLSHIT unless your company specifically says "You have to buy your own gloves because we can't afford to provide them for you."
Stay calm in explaining your situation. When you talk to ANYONE about what's going on, tell them (in a calm manner) that the lack of gloves is hurting your productivity. Having to go to Wal-Mart to buy gloves every night is cutting into your work time. Not having access to the supplies you need is affecting your patients. Above all, be civil, and don't come across as mad or whiny; no matter how much you feel like bitching, DON'T. There will be someone out there who can help you, they might not be in your company but there will be someone. Just make sure you're not doing anything that comes across as hostile- because then you lose respect and your job starts to look more and more expendable.
AND ANOTHER THING: Go to a doctor and get a signed doctor's note saying you're allergic to vinyl gloves. It might seem trivial, but it's proof that you are, indeed, allergic and aren't just "stirring up trouble." Damn the Man!
I commend you for being a CNA- it's like a babysitter to the most terrible kids in the world.
Good Luck