i bought a cast iron skillet from a supermarket, i make steaks on it.
ive done this twice now, with the same undesired effect happen to me.

i place the skillet in the oven on broil (1st time at 500F, second time at 400F)
once heated, i turn the stove red hot and xfer skillet on top of hot stove to sear the steaks.
this is when i get a terrible sensation in my lungs/throat as if im breathing something i shouldnt be.
the steam coming the skillet and steaks while theyre searing for 30 seconds each side is almost overwhelming.
i read the packaging on the skillet to find it was rated at 400F (which i tried 2nd time but same effect..)
it also explained that theres some kind vegetable oil coating on the skillet, maybe its burning off and into my lungs?

any help would be appreciated

You probably burned it off when you put it in at 500F. Go read up on cast iron seasoning and care. It is very important to keep your cast iron seasoned.

i did the same routine tonight and ive had success.
i turned down the stove a little and didnt choke out this time. apparently it was too hot..
i also set broil to 400F and with this combination, i had a successful meal.

Don't forget to avoid scrubbing the pan and using soap
It will also tear the coating off the pan.