1st bug: If you will summon allay with "summon minecraft:allay x y z {HandItems:(item)}" or change his data using "data modify entity (Allay) HandItems set value {(item)}", allay can die.
2nd bug: If you will give allay "Totem of undying" and he will die (lightning bolt, zoglin, TNT, etc. (BECAUSE PLAYER CANT KILL ALLAY WITH ITEM)) he still will be deathless
Only one bug should be stated per report.