Yes, to some people, scented candles do give a headache when burner. This is because the scented candles procured from random retailers can emit VOCs and this may include - formaldehyde, petroleum distillate, limonene, alcohol, scents, etc. Each of these can be an allergic trigger for people with respiratory issues or migraines.
The patients may experience issues like watering eyes, fatigue, itchy eyes, and coughing.
It is further observed that these cheap candles can cause problems like headaches, dizziness, allergic reaction, asthma attack, etc. Even if you are using a high-end brand, it is important to ensure that you take adequate precautions and care to avoid having any of the above issues.
It is best to buy the candles from reputed suppliers as the same can pollute the home with unsafe chemicals. If you have migraines, then it is best to avoid placing too many candles in a room to overcome any form of triggers that may lead to the issue.