It is hard to know what medications are safe to take when pregnant and breastfeeding. Ask anyone who has ever suffered from serious allergies and you know how miserable they can be without his or her allergy medications. The good news is that most allergy medications are safe to take. As for specific information about allergy shots, it appears (by the published literature) that they are generally safe. Most of my investigating into the matter has revealed that the injected allergens appear not to be transmitted into the breast milk. Consequently, there should be little risk to your baby regardless of when the shots are given or when the baby is fed.
When I did a quick search on The American Academy of Pediatrics published site, I could not find anything that would show a contraindication to breastfeeding and allergy shots. It is generally believed that shots should NOT be initiated for the first time when pregnant or breastfeeding (due to the risk of anaphylaxis and subsequent risk to the fetus), but are safe to continue.
As an aside, the “D” part of many allergy medications (e.g., Zyrtec-D, Claritin-D) is usually pseudoephedrine. This medication should NOT be used while breastfeeding because it will quickly dry up a woman’s milk supply.