Internal playback

[Joods]

That's because, when you hear yourself the sound takes an internal path, throat -> nose -> Eustachian tube -> tympanic membrane.
And when you hear external sound, it comes through the external auditory canal to the tympanic membrane.

But that shouldn't change the frequency from on key to off key...  It could be though that the different coloration of ones voice on the recording throws one off.

In my head, I'm on key. I've been told I'm on key. Yet when I hear the playback, to me - it sounds horrible and I really hate that because I find it really hard to accept compliments when I sing.