The 26-year-old singer was left devastated after the death of her baby boy at six months last November.
Happiness returned when she wed Sam Cooper last month and announced on her wedding day that she was expecting again.
In an interview with Elle magazine, Allen told of how their local vicar in Cranham, Gloucestershire, gave them comfort during their difficult time.
"People wouldn't have thought I'd have a church wedding, but since I had the really traumatic experience last year, our local community all pitched in," she said.
"We hadn't been there long, but after the news got out we received flowers and really heartfelt, beautifully written cards.
"Our vicar said a similar thing had happened to his family, so he would come over and sit with me. It feels really nice. We feel protected."
She also revealed the positive influence Sam had on her by helping her to feel more self-assured and leave behind the party lifestyle.
Previously she was "deeply unhappy most of the time", she admits, and wasn't eating but instead going out and drinking.
"I guess when you're not eating you have to distract yourself with other things," she said.
"Come three o'clock it was like 'Oh, I suppose it's acceptable to have a glass of wine'.
"And then by four o'clock I would have had four glasses. It's not the way to be. But then I met Sam and he noticed that behaviour.
"I think it came to a point for him where he was thinking 'Can I be with this girl if this is what her life is like? I want to make this work, but I can't live in this world'.
"I suppose I was doing all that because I wanted acceptance and if he was telling me that he'd already accepted me for who I was and I didn't need to do all this bull****, then it made me feel safe and secure.
"It was like 'OK, I can stuff all of that if you look after me."
The full interview appears in the August 2011 issue of Elle, out on sale today.