I think I've worked out when my allergies got a lot worse.. its when I started going to the gym which was also when I started taking whey protein. Has anyone experienced a correlation and or know of scientific evidence supporting such a hypothesis?
Whey comes from milk. It's part of the byproducts of processing milk and is one of the components made into cheese. The reason I point this out is that some people are allergic to milk. While the whey protein powder processing usually removes the disagreeable parts for those who are lactose intolerant, it is still whey.
If dairy in general (cheese, milk, etc.) causes nasal allergies, then there is no reason why whey protein which comes from milk will not cause the same thing.
In short, it comes down to your own allergies. If you have no allergies, then you can expect no detrimental affects. If you do have allergies, then you can expect those allergies to behave the same way they always do.