There's a couple of potential causes so I'm going to shotgun some answers and see what sticks.

Most concentrates are extracted with a solvent; blast the solvent through plant material and it pulls the oils out. The solvent then has to be purged from the oils with a vacuum oven (basically the concentrate is put in a sealed box and all the gas is pumped out, which causes the dissolved solvent to boil out, leaving only uncontaminated concentrate). If the purging isn't done correctly you can end up with some solvent left in the concentrate though. "Good" extractors use supercritical CO2 because it doesn't really matter if you get some CO2 in your lungs, but it's expensive and hard to work with. Cheaper solvents used include butane and propane, and it matters very much if you get that shit in your lungs. So, it could be improperly processed concentrate causing you to cough. This is less likely if you got it at a licensed dispensary (but even licensed dispensaries have sold bunk shit in the past, so that's not a guarantee).

It could also be that the oil is just getting too hot. Concentrates in pens aren't always the same viscosity, so if it's thinner than your rosin it might vaporise more easily, meaning shorter hits will get the same amount of vapour, but not as harsh. "Direct to lung" can also cause coughing because the oil gets hotter and hotter, and doesn't have a second to cool down in your mouth before you inhale.