I immediately started playing in my peaceful Minecraft world again for the day and the Allay, whom I had given an item and name tagged it (but did not leash it to fence), that I had been keeping enclosed within a small house I built (with some named tagged foxes) was still there. And as I was continuing a build right next to that house I decided that I wanted to see them through the windows of the house, that is when I notice no flying blue mob inside. I quickly rushed inside to see that the only ones in sight were the foxes but not the Allay. And all the exits were all closed and the house was well lit before they disappeared. There was nothing in the chat that mentioned that the Allay died, plus I always play alone and no one else uses my Nintendo Switch so there is no way someone messed with them.

I'm not sure if there is bug that causes the Allays to only despawn instead but if there is please find a way to recover them or stop the from despawning.