People can be allergic to just about anything. If folks can be allergic to latex in medical supplies, it is not unreasonable that there are some folks that are allergic to the resins in pen blanks.
If you still have any shavings left, I would bag some up, and once you recover from you current symptoms, try rubbing it between your hands to see if you are having a histamine response to a topical allergy (not likely but worth the experiment), if so a respirator alone won't solve the problem.
It is also worth trying to figure out if it is all resins. The resin blanks sold by folks like Woodcraft seem to have a different feel then PR or Alumilite, maybe you are only allergic to certain types of resin.
There are several nice choices in respirator, I have a Triton and really like it, but other folks swear by the Trend. 3M makes some options as well.