The actress, who had a small part in Allen's 2007 film Cassandra's Dream, has a lead role in the filmmaker's upcoming, as-yet-untitled film.
"I just adore him, he's lovely. But you do keep having these little sort of moments while you're filming of, 'It's Woody Allen, he's an iconic figure'," Sally revealed.
"He's just lovely and full of the insecurities and the vulnerabilities that we all have and if something goes wrong in a scene or he's not quite getting it, it's all about him, thinking that he's written a bad scene, and that's what makes him even more endearing.
"He's just incredibly bright and on it and you do feel a huge pressure because you just want to do the best you can for him."
Sally is currently starring in the West End play Constellations, which starts a run at London's Duke Of York's Theatre tonight (November 9).
She said of going back to treading the boards: "I think theatre grounds you in a way and I love rehearsing. Time rehearsing is the best time ever. You're having fun and you're exploring texts ... and it's so creative. It's like coming home."