See pages 449 and 450 of the Adverse Effects of Vaccines: Evidence and Causality (2011)
Board on Population Health and Public Health Practice (BPH)
http://www.nap.edu/openbook.php?record_id=13164&page=449
Anaphylaxis is a type of allergic reaction.
Because that is a known consequence of vaccination, it is good medical practice to keep people in the area for several minutes following a vaccination (in case they develop anaphylaxis and require emergency treatment).
That is the reason you are asked about allergies, especially to components that might be in the vaccine, before receiving a vaccine.
When I received my flu shot a few weeks ago, I had to wait around for 20 minutes before I could go back to work.