is there any substance that is impossible to be allergic to?
No.
Because what’s labeled as allergy has changed over recent years: it’s no longer “a certain protein that triggers a reaction”, it’s “something that triggers a reaction” as observed by the reaction.
So people can be, and are, allergic to cold, heat and sun.
When doing the old prick-test to determine which substances people are allergic to (though that has fallen out of favor in the last years apparently), a few people will react to the saline solution that’s used as neutral control.
I’m just speculating here, but water, sugar and oxygen would all be extremely inconvenient allergies so I’m assuming that if it even is possible to have those allergies anyone with them wouldn’t get as far as being born. I know there are some cases of water “allergy” but it’s not a true allergy.
Whatever the active ingredient is in anti-allergy medicine. I would hope so.