Hi Tryintodeal,
I doubt if it's an allergic reaction. If you got by the first 2 days without any discomfort I don't think an allergic reaction would affect you on day 3. It could be that the hair that was shaved is growing back and that's causing the itch. Debbie always advises people to do a test patch on their skin before trying a new glue or tape to test for allergic reactions.
Another possibility is that when the hair was shaved she may have cut you and a scab is forming and that's causing the itch. I'm no doctor but without lifting your hair piece and actually seeing what's going on with your scalp it's just an educated guess.
Good luck.
John