The one-pipe steam system has an odor.
One reason the Dead Men invented two-pipe steam at the turn of the century was to get rid of the odor that often wafted out of their one-pipe steam systems. Since a steam system is open to the atmosphere, it fills with air every time the steam condenses. When the steam comes back up, it pushes the air out the air vents and into the rooms. As the system corrodes, you'll sometimes get an odor with the vented air. It just might smell musty, like steam. Or it might smell worse.
Clean the system with trisodium phosphate to get rid of the odor.
There are chemicals in the boiler.
What sort of chemicals are they? If you use too much of a good thing, you're liable to get a bad odor in the rooms. Some people add vinegar to steam systems to reduce the pH of the water and cure priming and surging. If the odor in the room smells like vinegar, it just might be vinegar!
Check the chemicals you're using and adjust the dosage.
Someone recently worked on the boiler.
You may be smelling pipe dope or flux. There also may be dirt in the boiler, and if that dirt is organic, it will break down and form gasses that are rough on the nose.
Clean the boiler and the system piping with trisodium phosphate.
There's a lot of feed water entering the boiler.
Feed water contains minerals and dissolved solids that can give an odor when boiled. If there's an automatic water feeder on the boiler, close it for an hour and see if the boiler shuts itself off on low-water.
If it's a larger system, install an inexpensive water meter on the feed line, and keep track of how much water enters the system.
I remember this posh apartment building in New York City that suffered from an odor of urine. Turns out it was urine! The superintendent, unhappy with his holiday tips, decided to save his urine in a big coffee can. Each evening, before going off duty, he removed the boiler's relief valve and poured his savings into the boiler. The odor wafted up into the one-pipe-steam radiators of the filthy rich. Why did the superintendent do this? Because he could.
Want more troubleshooting tips? Check out A Pocketful of Steam Problems (With Solutions!).