I just installed a new shower/tub combo where I had only a tub before. I ran pex up to the shower. I installed a female drop ear elbow then the shower arm. No leaks when open butt. When I put on the shower head, it leaks where the arm connects to the female elbow. I’ve tried teflon, thread compound. I’ve tried different shower arms. Nothing works. Any help would be appreciated. Thanks.
Considering that you've had the same problem with multiple shower arms, and assuming you're applying the tape and compound correctly, the problem must be with the drop ear elbow. It's possible that the fitting is defective, or that there is a hairline crack you're not noticing. When you thread in the shower arm, it would cause the crack to expand slightly.
In either case, you will have to replace the drop ear elbow. I recommend using a brass fitting, rather than plastic, as plastic is more prone to cracking and thread wear.