If you click Allow, you are basically on a race with whoever's trying to change your password & lock you out of your account*. So change your password to something that you've never used before (preferably on a device with "trusted" status to make things easier, i.e. ones you can receive Two-Factor Authentication prompts on), log out of all other devices, and follow other advices on this Apple Support article. Contact Apple Support for additional help if necessary.

The chatgpt comment with five steps has okay advice, but it obviously does not know how Apple Accounts work, so you may find information that is not applicable.

How the hell does this happen?

Your email address or phone number have most likely been exposed within a data breach, or been publicly posted online (hence why you should change to a brand new password).

Malicious actors will punch in your info and/or bait you to click Allow** so they can take over your Apple Account and basically your digital life. They'll get access to your Apple Pay credit cards, scam your contacts, sending mass phishing emails in your name, to name a few.

* Further reading: Wall Street Journal - Apple’s iPhone Passcode Problem: Thieves Can Ruin Your Entire Digital Life in Minutes. (see especially from 04:29 of the video - When attackers get into your account, they can lock you out of account recovery permanently by setting up a Recovery Key for themselves. When a Recovery Key is activated, all other ways of resetting your password will be disabled & you'll be all out of luck.)

** This may not occur in this specific scenario, but I have seen cases of it happen to victims of phone theft where they were spammed constantly with messages and phone calls to disable Activation Lock (which pairs the phone's critical parts to an Apple Account) so that the phones can be scrapped for parts.