No it is not true. That would be a very dangerous thing to try. Methylated spirits is mainly ethanol, which for example, if you soak a hankerchief in it and set light to it, you will burn the hankie.
If you dilute the alcohol 1:1 with water, then the hankie does not normally burn because the latent heat of evaporation of water is so high that it protects the hankie. Perhaps that is what you were thinking.
It is true that some things burn with "cooler flames" than others, e.g. ether and carbon disulphide. Some burn with much hotter, e.g. benzene. Alcohol is in the middle. I can assure you if you hold your hand over burning alcohol you will burn your hand!!!
The methanol in alcohol might produce some formaldehyde, which is more toxic than acetaldehyde from ethanol, but probably very little would be formed if you try this in a big room or (preferably) outside, where plenty of air is present.
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