I've never used Allegro, however in standard Mac Applications resources are usually stored inside the Application bundle in a special directory called Resources. This would probably be the best place to put the image(s) in question, if not then you should probably put your resources in "~/Library/" or "/Library/Application Support/".
The second path is probably what you're looking for since the first is stored in the users local Library. This is a good place to store user specific resources i.e. Safari stores a users bookmarks in "~/Library/Safari/Bookmarks.plist". This directory is also where Cocoa applications store the users preferences. Take a look in "~/Library/Preferences/" and you'll see what I mean :).
As I mentioned though, I haven't used Allegro so some of this info may not be relevant :D.
Hope this helps,
Mark.