Dunn, whose season has been ravaged by hamstring and groin problems, was a half-time replacement for Benjani Mwaruwari against Wigan and contributed to a vastly improved second-half performance.
Morten Gamst Pedersen's free-kick and a superb finish from another substitute, Jason Roberts, earned victory although there were some frayed nerves after Charles N'Zogbia pulled one back late on.
Allardyce said: "It was important to get David back on the pitch. Even though he looked a little bit rusty and not his normal self, he's a little bit closer to match fitness which is important for us.
"It was about getting David on because we weren't passing the ball as well as we normally do. We were constantly giving the ball away to the opposition. David's retention of the ball is one of the best."
Having started the day in the drop zone Rovers can now breathe a little easier in 15th and Allardyce knows the importance of the win with tough away trips to Newcastle and Tottenham approaching.
Having controlled champions Chelsea for long periods at Ewood Park the previous week and ended up with nothing, the win over Wigan was a reverse performance with the home side a little lucky to take the points.
Wigan boss Roberto Martinez seethed over N'Zogbia's disallowed effort towards the end of a grim first period, the winger having been adjudged to have pushed Pedersen en route to goal.
"I don't know what was wrong with the goal," said Martinez. "That was a real low point for us and it was mentally very tough to recover from that. The referee has got a difficult job but he really cost us."
Pedersen increased Wigan's woes in the 58th minute when his free-kick from the right touchline evaded everyone in the box curled into the top corner past a helpless Ali Al Habsi in the Latics' goal.
And eight minutes later victory seemed assured for Rovers when the lively Brett Emerton crossed from the right and Roberts beat the offside trap to lash a fine first-time finish.
N'Zogbia gave the visitors hope when he drilled a free-kick home off the post in the 74th minute but the home side had the best late chances with Dunn somehow missing a sitter deep into injury time.
Allardyce added: "Hopefully this will give us the platform to move forward into two very difficult away games this week. Points are coming thick and fast now and we're taken the pressure off.
"Relief is an understatement. Pressure will always build on you when you don't get results even when the performances are as good as they have been. We're now out of the bottom three which is very, very important."
Wigan meanwhile slipped into the relegation zone at Rovers' expense and for all his feeling hard done by, Martinez admitted his side had to learn the harsh lessons ahead of home games against Liverpool and West Brom.
The Spaniard was keen to pick the positives of his side's performance and will take plenty of optimism back to the DW Stadium after a vastly improved display to the one that saw them lose at Fulham the previous week.
Martinez said: "I was pleased with the reaction from last week. Last week we weren't ourselves but here I felt we controlled the game and we took risks and kept the ball and created a lot of good chances.
"The reaction and the way we showed character means it is a case of just learning from this and making sure when you play well you take you chances and you take points. That's the next step we've got to take."