Moreover, our bodies did not evolve to eliminate combustion products and micron-sized scraps of rubber and asphalt. In this case where evidence is absent, it is more than prudent to assume the worst case: no amount of pollution is good for us. In the same vein, we know that poly-aromatic hydrocarbons (PAHs) are carcinogenic, but does that mean we do not eat charbroiled steak? Of course not, but par for the course would be smoking a cigarette and introducing a shitload more carcinogens directly into our blood.
All of that is to say that we can probably tolerate and eliminate a low-level of exogenous pollutants entering our body, but sustained intake of pollution surely spells disaster. Then again, something's going to kill you, so pick your poison -- literally.
(Not exactly the damning evidence you're looking for, but the study below asserts causality between exogenous particulate matter infiltrating the CNS and neurological and behavioral disorders, including Alzheimer's-like symptoms and cognitive dysfunction in adults and children alike.)
Maybe also, the relative windiness of the city leads to less accumulation of road dust than you'd have in other areas? (Totally just conjecture).
I did significant research into relative pollutants and health outcomes in NYC, and found almost zero correlation. Lung cancer was a particular concern, but it seems occurrences aren't higher in the city by any statistically significant amount. I found that to be strange; cars are everywhere in the city and most individuals live within a dozen meters of a heavily trafficked road.
If anyone has competing evidence, I'd love to read it.