Why did Cersei's allies not help her on her Walk of Atonement?

Two reasons really, they wouldn't have "won" the fight and it probably would have voided Cersei's atonement. Of course Cersei herself could have met with them before the walk to tell them not to intervene but as that's off screen and we don't know for sure, I'll ignore it for now.

The High Sparrow already hints that the many are the ones who will beat the few when united properly and in this case they are united properly by the Faith Militant. Had the Lannisters, Kingsguard or Gold Cloaks got involved it likely would sparked a riot and the few would have been overridden.

High Sparrow: Have you ever served the field, Lady Olenna? Have you ever reaped the grain? Has anyone in House Tyrell? A lifetime of wealth and power has left you blind in one eye. You are the few. We are the many. And when the many stop fearing the few...

_{Game of Thrones, Season 5 Episode 7, "The Gift"}

In fact that is precisely what they believed would happen when they decided to stop Margaery from her Walk of Atonement. In this case Cersei and Olenna are fighting to intervene, Cersei couldn't intervene with her own walk and Olenna probably wanted it to happen to some extent.

Kevan: If it doesn’t go as planned, the Sparrows have many friends in the city. We’ll have civil war. Many will die.

_{Game of Thrones, Season 6 Episode 4, "Book of the Stranger"}

Which allies you mean?

The Tyrells had already been her enemies. It was actually Olenna Tyrell who orchestrated Cersei's arrest, after receiving the 'gift' from Littlefinger - "handsome young boy" Lancel Lannister. After this he confessed everything about Cersei to High Sparrow and Cersei was arrested.

Freys are too far away and it seems very unlikely that they would help her in this regard.

Boltons already betrayed her by marrying Ramsay with Sansa, which Cersei had already learned from Littlefinger.

King Tommen refused to use power against Faith militant already.

Jaime is on a "diplomatic mission" in Dorne, to protect Myrcella.

Kevan Lannister, the Hand of the King, and also the head of the army at that time, is angry at Cersei, since it was her who gave Faith militant the power. He is against her power plays in the Small Council, he would like to see Tommen there instead. He has no interest to help her.

So Cersei has no friends or allies, maybe appart from Qyburn, but he himself has not enough power to do that.