I've heard death education is the latest thing!
Ummm compressed air should not be inhaled by jamming up your nose just in case.
As for it getting on your finger and being cold this is normal when you expand a gas that is compressed.
You know that ancient equation called
PV=nRT?

Pressure * Volume = #moles * (Rconsant) * Temperature
So as your pressure decreases and your volume increases and moles decrease your temperature will decrease as well. Namely this happens to all expanding gasses.
However the gas they call air in those cans is not air. Don't breath it, although non toxic you can sophicate.
Cyb