Yes, sebum can develop an unpleasant odor due to lipid oxidation. More likely however is that the skin and scalp are affected by particular bacteria that thrive on sebum and produce waste products with strong odors. You can try to modify your current hygiene habits: if you are using daily shampoos/cleansers/conditioners, try to not use them for a while, or go with completely different products. If you are not using them, you can try using them to see if the problem can be solved that way. Best, Chris