JMBronkema - I think that because this version of "aller" is made up of two words that compose "aller" [suis + allés] it is considered a compound entity, so both have to be considered as one thing, so the "y" precedes both of them. We had an earlier exercise here that did the same thing - "J'y suis allée" - and it was a similar case. The "y" came before "suis allée" because "suis allée" is considered the entity that makes up "aller."
Oh my gosh, I am rereading this and it sounds stupid and too complicated. This is the first time I have actually tried to help with an explanation. I hope someone else can do a better job. :-(