I don't know where Mallory was on D-Day, and I can't recall where Montgomery was either. It is mentioned in several places that General Omar Bradley--the American commander on the day--was in a cruiser off shore. These mentions are usually in the context of Omaha beach, where Bradley decided to continue landing troops despite relatively heavy losses rather than divert further landing waves to Utah and the Commonwealth beaches. I know that Mallory was in charge of coordinating Allied air forces on D-Day, but I can't deduce from that where he would have been physically stationed on the day. With the emphasis on interdiction for those air forces, wherever he was would have to be a communications hub of some sort, but that's as far as I'm willing to assert. (I can't find a mention of Mallory in the go/nogo discussion just prior to D-Day, which was the best lead I could think of)

Perhaps another of our experts knows more about the location of Allied commanders on D-Day. (Anybody have their Beevor or Ryan within reach?)