My car is overheating I fixed radiator.

My car is overheating I fixed radiator thermostat water pump timing belt and valve gasket took it to the shop to see if it was a head gasket and they found nothing now its still overheating before I changed everything I had water mixing with oil so I had my oil drained but I never change the oil filter I know water mixing with oil is a gasket problem but why would the shop tell me I dont have a gasket problem and now I have milky oil again is it because I never changed the filter from the first time or do you think I actually have a gasket problem? My coolant is dissapearing in minutes I had my car painted so I was sitting for about a month after I picked it up thats when I seen the milky oil again