OIL FURNACE HELP

Sounds to me like you've been lucky so far. You could have soot all through the shop, or worse. Sounds like it is drafting paint vapors in until the furnace burner tries to light them, the mixture is wrong and you get the big bang.

Somebody else mentioned what we always known as "outside air for combustion". Really, a combustion device should NOT be anywhere near a painting area, either gas, LPG, oil, or any other, including wood.

Depending on where it's located, you might want to consider sealing the furnace off from the shop, and provide some screened grills in from the outside. You want one up high above the furnace, and one down low. There should be info online for minimum sizing.

I used to maintain this stuff, for about a dozen years. Worked on heat pumps, LP and nat gas, and oil.