probably just because you're not used to smoking joints. i find i cough more often when i smoke out of something new, because i don't really know how much to pull. when i first got my large bong i would cough like crazy after every hit, but now i can pull just enough that i don't cough or get much irritation of my throat.
I gotta give myself props cuz I really can smoke like a pro. I can get a good first hit off a pipe, only burning like one hair. But that only works indoors. And conserving WHILE SMOKING goes completely out the window when you're out in the windy world and smoking with people That's what I think jays are awesome for. I don't get annoyed with people for smoking like half of it in one hit like I might if they just TORCHED it in a pipe, at least they'd be smoking it and not just obliterating it in the fires of lighter hell. I'm pretty confident that they're much less wasteful than pipes if you're in circumstances such that wind or poor smoking skills might lead to a pipe getting blazed into oblivion by a reckless flame And they go around a bit without need for a RELOAD.