Why would I get a skin irritation after using lube?

So my bf and I tried using lube to try doing anal for the first time. (For me) we tried a few times but everytime after using the lube i would get these rash like irritations in different places of my body. I thought maybe i could be allergic to lube...I was just wondering what possibilities could it be and if I am allergic to lube or whatever is in lube what could I use that would replace it? I tested my theory about the lube we didn't use it and no reaction! But i refuse to do anal ever unless we have a lubricant. As well is anal actually safe and okay for us women?