The 25-year-old star, who announced her retirement from the music industry in February, stirred up speculation after wearing a figure-covering poncho and only drinking soft drinks during the exclusive Playstation 3 Singstar event at the festival.
The Sun claims that the singer also refused to be photographed at the event and left after just half an hour, claiming to be "tired".
A source at the party said: "Lily’s behaviour was just so out of character. Everyone was gossiping that Lily must be pregnant. It was the talk of the party.”
Allen told last month of her intention to have a baby with long-term partner Sam Cooper "within the year". She suffered a miscarriage in 2008 after falling pregnant by former boyfriend and Chemical Brothers star Ed Simons.