The Smile singer is expecting her first child with boyfriend Sam Cooper and hid her growing belly in an oversized plaid shirt.
Miss Allen was pregnant once before with ex-boyfriend Ed Simons of the Chemical Brothers but sadly she miscarried in early 2008.
This marked Lily’s last gig before taking a break from music to become a mother.
Referring to her pregnancy, she told the crowd: “Excuse my casual attire but I’m pregnant and this is called the Big Chill.”
She also joked that she had packed high heels but that her boyfriend Sam Cooper had unpacked them.
As well as becoming a mother, Allen is also thought to be setting up her own record label and fashion store.
It is unclear when Allen will return to music.