According to the Wiki, "Allays holding an item follow the player through a portal if they are 21 blocks horizontally to the player or if they are within 22 blocks vertically of the player's legs. Allays do not travel through portals regardless of how close they are if they are tethered to a fence with a lead."

I have a Slime Farm in a chunk with the coordinates between (16, 30, 64) and (-3, 33, 81). There is one Allay holding a slime ball.

The portal parts of my Nether Portal are at (64, 91, 36) and (64, 91, 37).

So when I enter the portal, the closest the Allay could be is 45 blocks away horizontally and 58 blocks vertically, but it still teleports to the Nether with me.