Ideally your bedroom should be a haven, a place to escape to and relax and recharge. If it can be an allergen-free zone, so much the better.
"If allergies are getting you down, expand your spring-cleaning routine to create an allergen-free bedroom for you or other family members who are suffering. Your bedroom can serve as a controlled sanctuary where you enjoy clean air and freedom from pollen, dust mites, pet dander and dreaded mold or mildew."
There are some things you can do toward this end. You can keep your pets out of your bedroom, and resist the impulse to decorate with fresh flowers. Regular vacuuming, and occasionally steam cleaning will help to keep your haven pristine.
You can invest in bedding that is designed to repel pests and that don't contain allergens like down feathers. Avoid the use of volatile organic compounds (VOCs) like formaldehyde. Proper ventilation and the right humidity and moisture levels will prevent mold.