soy produces some smoke but minimal. All candles produce a type of "soot" from the wick. You should be fine unless you are standing over the candle breathing in the dark smoke. Any candle will then be bad.
Seal oil and other substances many years ago were burned in homes for light. The soot caused some lung damage in individuals. the homes were enclosed and subterranean. So not just seal oil soot, but also other soot.
Soy is better because it produces less "soot" in fact virtually none, and it burns at a lower temperature, is far safer, and cleans with soap and water.
I say soy.
Wanderingherb