Sometimes Google Sitemap Test gives you the following error:
This URL is not allowed for a Sitemap at this location
Well, it turns out the problem was a link in the sitemap, pointing at another site.
The link is actually a page, which is redirected on click to a Feedburner feed by Page Links To plugin. The idea was to use Feedburner feed for subscription, not WordPress one.
To keep the page from appearing in the sitemap, first learn the id number of the WordPress post by hovering the mouse over Edit link.
Then enter this number in sitemap generating plugin settings.
Rebuild the sitemap, and the not allowed URL will be gone.