My son has always had an issue with candles and fragrances to the point he's had to leave people's houses if the candles become too irritating as they've been known to set off his asthma. I had no idea what paraffin candles were made out of until I stumbled upon this blog:
http://empoweredsustenance.com/beeswax-candles-and-allergies-an-effective-solution/
Basically it's the sludge that is left over in the bottom of a crude oil barrel and it has lots of chemical irritants, some being carcinogenic.
However, there's an alternative as mentioned in the above link...100% pure beeswax candles with cotton wicks. Apparently these types of candles also clean the air and many allergy and asthma suffers find relief with the beeswax candles. There's also a link in the article as to where you can purchase these handcrafted candles online. I really like this candle in a tin, I personally think it makes a nice gift.