If you visit your veterinarian most often for allergies they will give a dog a cortisone injection or they will prescribe prednisone, which is taken orally. They might also recommend an over the counter medicine like children's Benadryl, however, you must consult a veterinarian before administering any medication to your dog.
Not Medical Advice :Believe it or not you can give your dog Benedryl for his/her allergies symptoms. If however your dog has a cough with this it may not be allergies instead it maybe kennel cough. Also, I would check with your vet first on the dosage for taking Benedryl.
You can go to your vet and he will prescribe you a medication that will help with allergies. There is also a shampoo you can get that will lessen the allergy symptoms.