According to Pat :

I've never bought a new oven (how sad is that) but I wonder if they
don't coat them with wax or oil to keep them nice and shiny until
they're installed. Maybe it was just something like that burning off.

Why would they do that? Most times you don't see the thing until
it's installed. Wax or oil would cause a major stench even
without self-clean.

As have the occasional time where disgruntled employees in the
factory have smeared the insides of a oven with soap. Doesn't
need self-clean to produce incredibly noxious smelling smoke.

I may recall incorrectly, but didn't he say that he'd not used
the self-clean for three years? If you start with a very dirty
oven (eg: lots of broiled steaks) and self-clean, it'll also be
pretty noxious as the spatter burns off.

We run ours about once a year. With all the windows open
and the vent going. Sometimes sets off the smoke detectors.
--
Chris Lewis, Una confibula non set est
It's not just anyone who gets a Starship Cruiser class named after them.