What is the connection between lupus & allergies?

Nothing direct. Lupus (sle) is autoimmunity. Allergies is hypersensitivity of your immune system. Autoimmunity does cause immune dysregulation, which may confer to hypersensitivity, but again, I am unsure that the prevalence of "allergies" in sle is any higher than the general public. Sle does commonly cause skin issues, which may be confused with allergies.
Immune system. Both conditions are disorders of immune tolerance. This is a mechanism that controls the triggering of the immune response and inflmmation. When the immune response is against our own tissues, autoimmune disorders such as lupus develop. When the immune response develops against benign substances of the environment such as pollen, we develop allergies.