I cannot be sure if this is really caused by a bug at the moment, but Allays seems to have either despawned or managed to suffocate themselves somehow.

I brought 6 Allays back from a mansion in a small multiplayer world (just me and a few of my friends and I'm pretty sure this is not one of my friends' prank on me). I traveled by sea to go through as fewer obstacles as possible but yet they still fall behind very far and get unloaded by the game very often and I have to frequently turn back to look for them.

When I got home I keep them around a notebox in my farm to hold them there and collect stuff for me for around 20 days in real-time. I observed that one of these Allays would disappear every now and then. Today there is only one left in my farm.

The surrounding is well litten and is safe from mobs and there are also roof and lightning rods to protect them from lightning.  The only hazard I may think of is the water, for it's usually the one collecting sugarcanes that vanish, but far as I know, they don't dive and sus they shouldn't be drowning that way.

I tried observing them for a long time but as long as I'm around they seem to be working all right.

There are, however, abnormal behaviors - once I found a missing ally more than 200 blocks away from the note box, and several times I found Allays going through the Nether portal which should technically be out of their wandering range.

My suggestion is that their pathfinding AI really needs a fix, or at least make them teleport like wolfs do, considering their wandering and collecting nature so they would have less chance of encountering accidents