Is it correct to say "all at no avail" in a sentence? or must I say "all to no avail"?

The preposition to is used to express motion or direction towards something, including towards an end result.

The preposition at is used to indicate a location or condition.

The expression to no avail means that something led to, or resulted in no profit, gain or advantage. The preposition "to" is correctly used to indicate a journey towards an end result. It wouldn't make any sense with "at", and even if you could contrive a scenario where you could say it, it isn't an idiom.