Looking around, I find that wool allergy is considered "rare".

http://www.allergyreliefexpert.com/wool-allergy/

I suppose you could open up a capsule of D3 and rub it on a test area of skin, and see what happens.

This is the process used:
http://www.livestrong.com/article/27...in-d3-derived/

It appears to come from the skin of the sheep, not the wool.

This site cannot answer this question 100% either:
http://www.raysahelian.com/cholecalciferol.html

D2 is not very bioactive in humans.

Also the D3 added to foods now, would come from the same extraction process using sheep skin. (milk and juice)

Your alternative is sun exposure daily if you are concerned.