Well, hedgehogs have fur, so unfortunately yes you could be allergic to them. I had trouble breathing, but alot of that had to do with their bedding (dusty) and it was better when they were on liners. I also got hives and itching on my hands where the quills would poke me when holding them. It took a few years for me to develop that allergy, it did not happen right away.
I have been sent a Valentine
~Annie~ B.B.- cat, Toffee-ferret and RIP hedgehogs, Prickles, Pepper, Coconut and Nutmeg