Mike -
Being semi-asthmatic - I found your question to be an earnest inquiry into a product we just accept as being 'safe for all'. It took a number of years of trial and error to identify those products that trigger an asthmatic reaction for myself. Each person is different in their reaction(s) to exposure(s).
For example, I have two large outdoor dogs. I can wrestle and play with one with no problems. But, I can't do the same play with the other without reaching for an inhaler. I can prime wood with Kilz - no problem...but a scented candle brings on a tight chest and wheezing. Sometimes, it makes no sense - but it is what it is.
As for the smoke fluid, Lionel's Premium Smoke fluid indicates it contains petroleum hydrocarbons. JT's Mega-Steam only says it contains petroleum. So, out of curiosity, I looked up the MSDS for petroleum hydrocarbons. I didn't see any data as it relates to the product being converted to "smoke", though there is reference to "mist". The MSDS indicates petroleum hydrocarbons rate way, way low in toxicity yet could be problematic for asthmatics or those with respiratory sensitivities.
Here's a link to the MSDS I reviewed:
http://wwwd.graco.com/Distribu...37/$file/msd037a.pdf
Personally, the smoke is a really cool feature. However, being I am asthmatic AND am in the process of converting a bedroom to a train room - I am glad you brought up the issue. This helps in my planning as I will either need to abstain from the smoke or provide a means for exhaust. Thanks for triggering my own inquiry into something I hadn't considered in my planning.
Also - found this on "Fog or Smoke machines"
http://en.wikipedia.org/wiki/Fog_machine