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Winn-Allanson was the elder son of George Allanson-Winn, 1st Baron Headley, by his second wife Jane Blennerhassett, daughter and co-heiress of Arthur Blennerhassett, of Ballyseedy, County Kerry.
Born George Winn, he was the only son of Pelham Winn, of South Ferriby, Lincolnshire, by Elizabeth Wighton, daughter of Reverend Gilbert Wighton by Elizabeth Allanson, sister of William Allanson, of Bramham Biggin, Bramham, Yorkshire.