I've lived in Hawaii, California, Connecticut, New York, and now Pennsylvania. Ive spent summers in Colorado. If it wasn't for the nature of my husband's work, we would move to Colorado in a heartbeat. Dry is good for allergies. Also, unless specifically allergic to pines or evergreens, you may do the best in a higher elevation with mostly evergreens. They tend to have a lot less pollen, and not as much gunk in the air. Also, higher elevations have (supposedly) a higher content of oxygen in the air, and the air just FEELS lighter and easier to breathe. It's also cooler. My allergies and asthma are such that summers here in the East kill me. I hide indoors with air conditioning on full and just don't go outside. Check with an allergist or immunologist as to your specific allergies, and go from there.
Good luck!