The 32-year-old star is currently five-months-pregnant with her second child and admitted she was so sad to hear the news as it could have been her that she wrote a message on her Twitter page.
Allen, 25, recently lost her baby at six months pregnant.
Speaking to British newspaper The People, she said: 'It was a spur of the moment response on my part. Without wishing to sound condescending, it could have been me or any other pregnant woman.
'As soon as I heard the news I felt the tears well up in my eyes. I just feel so sorry for her. It's just terrible news. It is the most awful thing imaginable. I cannot understand how it must feel for Lily and her boyfriend.'