Winter allergies can be triggered by the dust in your home that can get spread through your home through your furnace.
In the winter months there can be dust build up in your furnace vents and other allergens in the furnace vents that gets airborne when the air is pushed through the vents.
Some dust particles can be so tiny that you don't even notice them.
I would recommend checking your furnace filter and making sure your furnace vents are clean and free of dust.
A good furnace air duct cleaning service can clean your furnace vents out to keep the dust down.
Also the air is dryer in your home which can trigger allergies so you should add a humidifier to your furnace or use a portable humidifier in your home.
Some other things that can trigger winter allergies are pet dander, dust mites, mold and cockroach droppings as well as other insect droppings.
You may also just be allergic to something outside in the air even during winter.
Most allergies occur during spring and warmer months but in the winter you can suffer from allergies too.