Yep either psychosomatic or oil in the blood…
The fact you feel it during injection-is that normal for when you inject mistakenly into a vein?.. Even with an IV injection it takes a good 5 seconds for that effect to present.
Your Depot may be contaminated, but i do not think that is what is causing the cough!
Also, if you don’t aspirate and inject into an artery… well… goodbye leg at least!
Joe