D.A.
Probably outgassing of plastics/rubber. Plastics and rubber materials can out-gas. They are petroleum products after all. The product says non-toxic, but you do have to wonder.
You might put it outside for a few days and let it out-gas out there and see if that helps. After a few days that "new plastic" smell might go away.
But, frankly, I'd take it back. Your baby doesn't need it. It isn't safe for her little spine to be sitting upright by herself. When her muscles are strong enough, then she will start sitting on her own and pulling up. Use a swing, carseat or bouncy chair for support. They are much better for the spine of a little one.
D.