Yes most Pet Insurance polices do cover the cost of allergy shots for your pet as well as testing for allergies.
Having Pet Insurance can help to cover the cost of any allergy shots for your dog and testing for the source of the allergies as well as many other health problems that your dog or pet may have or may get.
You can save lots of money when you get Pet Insurance instead of having to Pay out of pocket every time you make a vet visit.