I was looking for that quote, because in this recent thread the term "allegory" was being used where "analogy" was really more appropriate. And the distinction between the two is quite important.

An allegory is an artificial constriction, where the events and characters in a story are manipulated to fit the events and characters in a different real-life situation. I can see why Tolkien disliked it when people clumsily tried to explain Middle Earth in that kind of way.

Any number of songs are applicable in the way Tolkien uses the term here. Maybe all good songs are. (The example I gave on that other thread was the Mary Ellen Carter, which isn't only or even primarily about boats, but about an attitude to life.)

But allegory as such? I suppose you could say that songs like The Seeds of Love and The Thrashing Machine are - but maybe the term really applies when you get into more extended narrative.