Unless you're in Europe.

> As part of the EU’s REACH Regulation Annex XVII, a restriction banning Bisphenol A (BPA) content in thermal paper above 0.02% by weight came into effect on January 2, 2020. This prohibition was implemented due to health concerns associated with BPA exposure

so unless you're buying old rolls, or from non reputable sources, it shouldn't be an issue in the EU at least.

You can buy phenol-free thermopaper if you are concerned