How can a high voltage flyback transformer burn pieces of paper?
Was there a smell of ozone?

@Andyaka Yes indeed

It's a corona discharge - the air becomes ionized around the HV terminal at the plug end of the wire. It will also produce ozone that you can smell. It's not a displacement current, it's real charge carriers floating around the electrode.
I expect that if you turned the lights down you would see a slight purple glow around the terminal in close proximity with the paper.
If it can &quot;do stuff&quot; to air it can probably &quot;do stuff&quot; to paper - I expect that atoms in the paper are also ionized and this will discolour the paper.