I don't have personal experience with this, but my partner does. In his case it's caused by Crohn's and the fact that his gall bladder's been removed. It causes him severe anemia and vitamin D deficiency amongst other things.
I don't think I have the same issue as you (I do have an issue with eating fatty foods causing me big problems) but I am wondering if digestive enzymes and Sam-E might help with supporting your digestive system and help with your issues. Maybe after you get your diagnosis if you doctor isn't open to discussing supplemental support go see a Naturopath and see if they have suggestions. Having been through lots of tests and a number of meds which didn't help I found some supplements did help. If you can go for the least invasive solution for your issue.
Fat malabsorption could be a symptom of a more serious issue. I wouldn't try to treat it with supplements. It's important for you and your doctor to get to the bottom of what's causing it and get proper treatment for the cause itself. If you are deficient in any fat soluble nutrients, s/he should be able to hook you up with prescription doses of whatever you are not absorbing properly.