It's also stoves in gers around the city causing it and then there's little wind in winter to blow it away. The pollutant concentrations are thousand times higher than WHO recommended levels, people get lung disease, damage and cancer more often than people in chinese industrial cities.
So yes, it's the most polluted and coldest capital city. You can still live there but if you're a health enthusiast, then there's plenty of countryside to live in.
If I ever live in Mongolia, I'll spend the winter somewhere else. Altay should be fun!