The Hammers, who face Hull City on Saturday, will go into the playoffs if the second-placed Saints defeat Coventry City.
"I don't think we are too nervous because we only have a slim chance," Allardyce told reporters. "Most of the pressure lies with Southampton because they have more to lose.
"We have to rely on Coventry doing us a big favour which is going to be difficult. But you never know, do you? Anything can happen under the pressures of a final game of the season when so much is at stake.
"There can be a twist and a turn along the way and if there is, and it's in our favour, we must make sure we are in a position to take advantage."
West Ham were relegated from the Premier League last season.