You can still get allergies in the winter months but it depends on what type of allergies you suffer from.
If you suffer from pollen allergies or any other airborne allergies that come from outside then you should see a decrease in the allergy symptoms during the winter since most of those allergens won't be around during the winter time.
You still can get dust allergies though during winter.
If you suffer from mold or dust mite allergies then being inside the house more often during the wintertime can mean you still get those allergies.