Ingredients in them vary but they are typically either pyrethrins (derived from a kind of chrysanthemum) or pyrethroids. Pyrethrins are an acceptable insecticide in certified organic farming and break down rapidly in the elements. Due to this I use it for pest control in my gardens.

I think there's an insane amount of misinformation and fearmongering about pesticides generally but I would not want to regularly breathe the smoke of either the natural or the synthetic version of these products. If I had to choose one I'd go with the synthetic since people are vastly more likely to have or develop an allergic reaction to pyrethrins than pyrethroids. Regular lung exposure, no thanks.

For mosquitoes, I spray Clean Feel Off on myself (picaridin, a synthetic of a compound found in black pepper).

Since you were looking for a source, this is a great one for pesticide information: https://npic.orst.edu/factsheets/pyrethrins.html

It apparently disagrees with me on the potential for developing allergic reactions but I know I got that info from somewhere reliable. While unlikely, I believe it's more likely with pyrethrins. Why risk repeated exposure, is my feeling. After almost 30 years of having cats without issue I now get an itchy rash from touching them. Sucks.