Is it an allergy? What should I do?

It's not an allergy I don't think. It's probably because the silicone band doesn't breathe and sweat gets trapped between the band and your skin. I have this problem often and with more than just my apple watch, I'm actually waiting on one of the nike sports bands to show up which should help the problem for me.

Don't ask for medical advice from the internet, you have no idea what Saphros medical credentials are. See a doctor.