Lily and her boyfriend Ed Simons at French store Aim
Lily cheers herself up with a trip to the shops
A TV insider said: "She's incredibly low at the moment, but doesn't want to let her fans down.
"It will be a very upbeat night so in a way it's the tonic she needs."
A source close to the couple said at the time: "Lily and Ed are in a state of shock. The bad news has been really difficult for them to take and they are really heartbroken."
Allen and Simons met in September after a Chemical Brothers gig in Trafalgar Square and announced they were expecting a baby in December.
Allen's second album is due out later this year.