I have a milk allergy and I think it is causing me to have asthma attacks. Is this possible?

Milk allergy. Yes. A very large percentage of asthma sufferers are allergic. Many of these allergies are significant and can enter into the causation of the allergy. Cows milk allergy is one of the commonest food allergies and causes considerable chronic illness especially in children. Ask your doctor for a referral to an allergist for a complete workup concerning allergies and asthma.
Possible, but... Individuals with true milk hypersensitivity are at higher risk to develop atopic diseases such as atopic dermatitis, asthma, and allergic rhinitis. However, food allergy plays a minor role in terms of triggering asthmatic attack. Airway overreactivity to nonspecific irritants and allergen-induced bronchospasm and inflammation (pollen, dustmite, etc) are accountable for most of asthma flare ups.