When it gets cold out the first time you tun your heat on in a house or apartment it stinks. It uses the same vents as the AC so why does it stink so bad?
Dust collects on the heat exchanger and firt fire it is burned off. Thats the smell.
Seems that the air inside ducts remains in there, from the last time you used the air conditioning. You can try to move that air, between the hot season and the cold season, running the fan alone, only for a few minutes. Or are your ducts clean? In my case, the air conditioning smell beginning the hot season, when turned on, but the odor remain only a few minutes. Does yours?