Cats convert CO to CO2, and NOx to N2 (mostly irrelevant for this conversation). In closed space, the exhaust is still deadly, but you are correct in that CO would cause quicker death than CO2 displacing the oxygen.

Relatively low concentrations of CO will cause severe drops in red blood cell’s ability to transport oxygen, then follows unconsciousness and death. CO2 in contrast would require higher concentrations to be effective, as it would only reduce the efficiency of gas transfer in the lungs and lead to slow and painful decreasing blood pH - and a strong panic reflex and the ‘I can’t breathe’ feeling - until eventual unconsciousness and death.