The USA has made great strides towards reducing our pollution by exporting all of it to China and Mexico.

I would think it would be hard to tease out the differences between riding in smog vs not, although one could compare US cities.

One of the problems with cigarette filters is that they apparently made smokers inhale deeper, and thus didn't reduce cancer as expected. It is possible that driving one's windows down vs riding a bike would be different in that the bike rider might be huffing and puffing more, and get greater exposure to the pollution, as well as spending more time on the road.

Nonetheless, the benefits of exercise remain.