My wife suffers from MDS, dementia, and shortness of breath. Is there anything we can do about the shortness of breath?

I'd ask to see a specialist or get a second opinion. There must be a reason, or at least some help out there to make it easier for her to breathe. Sometimes these things take time to diagnose, and what one doctor may miss, another will find. You'll need to find a doctor who will work with you.
Good luck,
Carol