do you know if there's a specific ingredient you're allergic to?
the best thing you can use is pure shea butter. it moisturizes and as it is a bit greasy, it also protects your skin from the cold. you can also use vaseline, but usually i prefer using it at night as it is greasy and takes time to be absorbed by the skin.
i also suggest you try a "cold cream", personnally i think it's a great cream against dryness, especially during winter.