It's been a long time since I've used allegro, but IIRC transparency works differently based on the color depth of the source bitmap. The magenta color key (255,0,255) works for truecolor bitmaps, but PCX is an 8-bit indexed format, which means the transparent regions are color index 0. If you're using indexed color mode in GIMP, make sure magenta is the first entry in the palette. A drawing program like GrafX2 or aseprite is also useful for palette manipulation and working with 8-bit images in general.