The Allied Powers were a military alliance, so the term is quite
straightforward. However, you might still ask why the opposing
military alliance between Germany, Austria, and Italy, was not
referred to as allied powers. We tend to think of alliance as a
good thing, so when we are in an alliance we are the allies; when
our enemies are in an alliance, it is more of an axis of evil kind
of thing. In WW II people talked about the Berlin-Rome-Tokyo Axis.
It should be noted that Japan was not formally allied to Nazi
Germany, although it became a kind of alliance in that both Japan
and Nazi Germany were at war with the US.