[pygy_]

There are complex interactions between the nervous and immune systems.

I don't think that anything has been demonstrated regarding allergies, but I wouldn't rule out a therapeutic effect in this case. The absence of evidence is not an evidence of absence.

[Semaphor]

I must say I honestly don't know if they were allergies in the medical way. For quite some time I couldn't drink large (>1L/week) of milk while milk products were fine. I always called that an allergy and only learned much later that it's not;)