The theory is that constant and gradual escalation of the administered dose of allergen eventually tolerizes the immune system to the allergen through the induction of peripheral Tregs or IL-10-secreting effectors.
While the purpose of a traditional vaccine against a pathogen is usually to rile up the immune system with and adjuvant or modulators, the idea of allergy immunotherapy is to sensitize the patient to the problematic allergen by implementing chronic exposutre. That mechanism is still poorly understand and is not thought to have immune memory, as the effects of the therapy tail off after discontinuation.