I did not say that there is a direct connection, but....
Did you ever suffer from migraene attacks? The symptoms can be very, very similar to a hangover. And a migraine attack can be caused by an allergic reaction. That being said if after a glass of red wine you develop a migraine attack in the early morning caused by an allergic reactions against the chemicals in wine you will not know if it is migraine or an allergic reaction or a real hangover. That being said people who say that they had a hangover after wine could in fact had a migraine caused by an allergic reaction as the symptoms are very similar.
Or to say it different, allergic sensitivities can make you feel hungover even if the alcohol quantity itself does not justify you to suffer from one.