An allusion is a reference to another work of literature or historic event. Some important allusions in "Sonny's Blues" refer back to the Bible and contextualize the suffering of 20th century Black Americans with the sufferings of the Israelites.
One allusion is to the hymn "God be with you till we meet again." The narrator and Sonny hear the hymn played during a religious meeting outside their window. The context of this allusion is important: Sonny takes a "swallow of his beer" and says he is playing his music tonight if his brother can "stand" it, then proceeds to tell his brother how the hymn they just heard made him feel:
"her voice reminded me for a minute of what heroin feels like sometimes-when it's in your veins. It makes you feel sort of warm and cool at the same time. And distant. And- and sure." He sipped...
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his beer, very deliberately not looking at me. I watched his face. "It makes you feel-in control. Sometimes you've got to have that feeling."
Sonny's interest in the hymn shines a light on its importance to the story. He goes on to discuss suffering, another biblical allusion, focusing particularly on the book of Isaiah. This specific section features the Suffering Servant, a person who suffers although he is innocent. The Suffering Servant is a theological innovation, as most religious thought before that argued that suffering was the deserved punishment for sin.
All of this leads to what is probably the most significant allusion in the story, which occurs in the last sentence. Sonny's brother goes to hear him play, and suddenly gains a new understanding of what playing music means to Sonny.
The narrator sees Sonny sip a Scotch and milk, a drink that symbolizes both worldliness and innocence. He nods, sets the cup above the piano keyboard, and begins to play. The narrator notes that the drink:
glowed and shook above my brother's head like the very cup of trembling.
The "cup of trembling" is from Isaiah 51:22, which reads:
Thus saith thy Lord the Lord, and thy God that pleadeth the cause of His people: “Behold, I have taken out of thine hand the cup of trembling, even the dregs of the cup of My fury; thou shalt no more drink it again.
In other words, the allusion suggests that the healing power of Sonny's music takes away the narrator's suffering and fury. He comes to understand the worth of his brother's life and vocation.
Other songs alluded too in the story that you might take a look at include "Tis the Old Ship of Zion" and "Am I Blue?"