Around 2004 we had some people over for a card game night. We were all sitting on our house's big terrace, where we had also put this type of lamp. The terrace was open to the outside and the lamp attracted a large amount of bugs, which would burn and start to smell, the same smell you are remembering.

To stop this from happening, my brother decided to put a kind of glass plate on top of the lamp as a cover. Initially this worked great and the smell was gone.

10 minutes later, the glass had gotten so hot that it exploded violently, shooting shards of glass all across the terrace. It was a lesson learned.