you are getting incomlete combustion and soot that takes a while to get burnt off when you first light off the unit and also since you are taking a while to get going and create a good "draw" on the chimney/exhaust, the soot and incompletely burned hydrocarbons are entering your room instead of heading up the chimney. It's like when I start a fire in my airtight stove...until the chimney heats and creates a draw, the smoke wants to come out the door.
Check the exhaust (b vent?) for soot and freedom from obstruction and also make sure it has the correct height above the house. (Can you go on the roof and inspect the inside of the vent?) Check the air intakes into the burner and make sure the flame is not sickly yellow indicating not enough air flow. Luck, Kizmet