This should read, does lamp oil smell, I reckon!
If you smell an oil candle flame while it is burning, assuming it is burning properly, and combustion is complete, there is no smell, depending on the quality of the lamp oil.
Clearcraft lamp oil for example is classified as normal paraffin C10-C14. This means the paraffin is made up of relatively short carbon chains. The shorter the carbon chain, the higher the chance of complete combustion occurring, and hence a smoke free flame.
The other important element is the aromatic content. This should be less than 2% to ensure a very low odour burn.
One other thing to remember is that if you put your nose close to a flame, you will experience the heat of the flame, and also, the very slight singing of your nose hairs!!