Inside the soldering iron
It's probably a mixture of metal oxides and residue from solder vapors. The high heat accelerates oxidization. Melting solder releases vapor and particulates (smoke), and some of it deposits on the iron over time.

Cleaning wouldn't hurt: if it wipes off easily then just wipe it off with a rag. If the iron still works, there's no reason to stop using it.

It's probably some fairly nasty stuff: somewhat corrosive and contaminated with heavy metals. Wash your hands.