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Why would this happen? Well, allergies is due to a hyperreactive immune system that may lead to a more efficient elimination of abnormal cells, thus lowering cancer risks.
More study is needed to verify if this correlation truly exists.
What I would like to see is 3 groups (allergic group treated with meds only, allergic group on immunotherapy, and control group) followed out.
Reference:
History of asthma or eczema and cancer risk among men: a population-based case-control study in Montreal, Quebec, Canada. Ann Allergy Asthma Immunol. 2010 May;104(5):378-84.