Yes, in certain cases, it is observed that burning up scented candles procured from random suppliers or sellers without giving due care to the formulation of the same can be a poor choice and may lead to allergies and headaches.
Although, variants designed from natural scents, vegetable-based ingredients, and reputed organizations can rarely cause any of these issues yet is worth mentioning that even though these candles are virtually safe care should be executed while burning these.
This matter is also asserted by the researchers from the US and Europe who have concluded that under normal usage, these candles do not pose a health risk. However, a few studies indicate that cheap scents can cause particulate contamination and harm the health of patients by causing respiratory issues. As a result, it is best to avoid sitting too close to the same and hence overcoming the issues completely and staying safe by taking adequate precautions.