To me, it does sound a bit like an allergic reaction. I would definitely consult your doctor and see what's up.
Allergies can affect us in many ways. Just because an allergen does not make your skin red and itchy, it could cause sneezing, headaches, itchy/dry or itchy/watery eyes, etc. We are all different, and we all experience allergic reactions in different ways.
Sounds like you should try emu oil or something else other than coconut oil in your hair.