Allen's men meet the Cowboys on Thursday, and the Raiders he insists that Romo must be stopped if his team are to have a chance of winning the game.
He told the club's official website: "Tony's been playing this game for a long time, so he's a smart player. I think one of the things that he does as well as anybody in the league is that he's able to create.
"Obviously, he can throw the ball on time with accuracy, but his ability to extend the play and make plays down the field is probably as good as anybody in the league.
"So we'll have to do a great job of staying in coverage when he begins to move around and sometimes you have to stay in coverage for a long time. That's something that we've had to work on and emphasise this week."
The Raiders are bottom of the AFC West and have not won on Thanksgiving Day since 1968.