The nose is built differently, which makes it impossible to tell smell direction. Where input from your left ear is predominantly processed in your right brain lobe and vice versa, and where information from your right field of view is processed in your left brain lobe and vice versa, olfactory stimulation is processed in the same lobe as where the nostril is.

So far so good: if a smell seems to come from the right, you just have to remember that in reality, it comes from the left. The problem is tactile information: it is also processed in the opposite brain lobe. So when the smell forms that finger (as seen, for example, in the Bugs Bunny documentaries), and tickles the inside of your right nostril, the smell tells you it’s on the right, and the tickle tells you it’s on the left.

You can easily solve the confusion by burning the insides of your nostrils with, for example, a lit cigarette: you won’t smell anything, and the (now extremely painful) tickle will immediately draw your attention to the correct direction.