A/I fellowships are not as straightforward as the rest in IM. There are not many of them, but there are also not many applicants. It tends to be a research-heavy field. All of the applicants from our program have had PhD's, although there have only been 2 over a decade. I don't see A/I listed in the MSMP charting outcomes document.
In any case, your first step is to get into the best residency program you can. Many institutions don't have A/I fellowships, but that shouldn't be a barrier (although it's always better if your institution has one). If my sense that A/I fellowships are often research heavy is true, then solid research during residency will be important.