Probably because the flavoring is in PG; most are, though there are some VG-based flavors.
Are you sure it's the PG causing it, though? Some people have a far rougher time with VG; many say things like "heavy chest," "coughing up phlegm," or in my own case, just flat out suffocation. With anything over 20%-25% VG, I walk around constantly feeling and sounding like I have a hairball that just won't move, hacking till I'm exhausted but it does no good.
Andria