The singer, who announced her retirement from music last year, admitted to missing performing live and teased that she may make a return in the future.
"Maybe I'll be Lily Rose Cooper, the country artist," she told the BBC's Test Match Special.
"When I do go to gigs I get a slight pang of envy and think, 'Oh I do miss being up on that stage'. But I have other priorities at the moment."
The 26-year-old recently confirmed that she has started work on a musical adaptation of Bridget Jones' Diary.
> Lily Allen is Britain's best lyricist, says Elton John
Watch the music video for Lily Allen's hit single 'Not Fair' below: