Had a similar problem with a new install. Every time the furnace would come on we would get an instant headache and nose/throat irritation. CO levels were 0. I believe it was the manufacturing oils and chemicals used in the furnace, coil, and ductwork. The furnace only ran on the first stage for a short time because of mild temps so it never burned off. I opened all the windows and ran it on high for several hours. The condition eventually went away.
Also make sure your CO detectors are in the sleeping areas.