Like CB, my guess would be that the odor is coming from the cardboard box, and not from the foam board itself. I've had similar experiences lately with cardboard boxes containing matboard, glass, and other things.
If the source of the odor really is the foam board, then something is seriously wrong with its chemistry, and you ought to send it back for exchange. Or, if the box is the problem, pitch it into the dumpster and be happy.