Finding the alliteration in Dahl's short story "Lamb to the Slaughter" is a bit tough. The story has it, but it is not obvious alliteration. Alliteration is a repetition of a consonant sound. It's usually seen in poetry, and more often than not, the alliteration occurs within a single line of poetry with no other words in between the alliterative words. For example: "Bob was a big, bad, batter."
In "Lamb to the Slaughter," the alliteration of the opening lines of text is much more subtle than my example.
The room was warm, the curtains were closed, the two table lamps were lit.
There is a repetition of the "w" sound with the words "was," "warm," and the two "were" words. The "c" sound is also alliterative and in fairly close proximity as seen in "curtains were closed." Lastly is the "l" sound which can be found in the words "lamps" and "lit."