Mustard algae, which can be pretty resistant to chlorine, can be reintroduced to the pool from cleaners, other equipment, toys, bathing suits, pipes and equipment, especially the filter, not thoroughly de-algaed, light niches, behind stairs, covers, etc. It may be that you have not totally removed all sources of the algae. It may take a process similar to decontaminating a spa. It may also be that you have not shocked at adequate levels for long enough.
Aggressive attack of the algae and prevention of recurrence will be astronomically less costly/trouble than "filling in the pool".
I'll bet some of our gurus will chime in to help you get rid of that major "headache" so you can get your algae free pool once and for all.
gg=alice