That isnt totally true. If they allergies to peppers or have asthma they can die from inhaling it. These extreme exceptions of course, you wouldnt know about beforehand unless for some reason you knew the person.
Yes, asthma would be a problem.
Overall food allergies are uncommon with 3.4% - 4% being the rate in the U.S., allergies to spices in general being considered rare and to peppers even more rare. Allergies to capsicum appear to be so rare that no incidence rate has even been guessed at.
Not much of a comparison to the certainty of the toxicity of the ingredients in wasp spray.