Cotton is obtained from cotton bolls and paper is obtained from wood pulp. Thus, both of them are made of cellulose. When burnt, cotton produces a smell similar to that of burning paper.
Wool is obtained from the hair of animals like sheep, yak, etc. On burning, they produce a smell similar to that of burning hair since they contain the same protein that is present in hair.
When burnt, nylon produces a smell similar to that of burning plastic as they both are manufactured from petrochemicals.