Actaully benzyl alcohol is used in many steroids. Fina cough seems to be caused by something in the fina. Also, its not just when you hit a vein. Injecting into a vein is rare, and the effects are NOT pleasant at all. Its not just coughing that happens when you hit a vein. I've hit one once, and I thought I was going to die. I got light headed, sweaty, paranoid...my heart pounded, I coughed and coughed and nearly vomited. It was a lot different than just the ordinary fina cough, which incidentally, can also be very unsettling the first time you experience it.
I theorize (its just a guess, people) that the cough is actually caused by residuals of the inert ingredients found in the pellets. For example, that red color that so many people find in their converted fina is actually (most likely) oxidized methylcellulose (or possibly other inerts).
In any event, a totally complete and pure conversion is not always the result of our home brew attempts, and the fact that the cough seems to be associated with converted fina suggests that the culprit is somewhere in the pellets, not in the injection process.