Whey protein allergy is very rare but like all allergies needs to be taken very seriously. Whey is a protein powder that is derived from cow’s milk. It is a by-product of cheese production.

The other protein contained in milk is casein. Whey is the higher quality of these two proteins and is much less likely to cause an allergic reaction.
Whey protein isolate is the purer form of whey. It contains 90% or more protein and very little lactose. Whey protein concentrate contains 30-90% protein and more lactose. This is something that may be very important when purchasing a whey protein supplement.
If you are lactose intolerant you need to consult your physician prior to using a whey protein supplement of any kind. You can explore the possibility of using a pure whey isolate with your physician. Some of these contain none or a very small amount of lactose.
The best whey protein is one made from 100% whey protein isolate that is lactose free and hypo-allergenic. Avoid the cheaper low quality products that typically have a higher lactose content.
Some people mistake digestion problems for a true allergy. A high quality whey is very easy to digest but some of the more inferior products may cause some digestion problems.

It is also important to remember that a whey protein supplement should be used in moderation. Even a high quality whey can cause digestion problems if used in excessive quantities.
If you think you may be allergic to whey protein you may want to consider hemp protein.