Is there a study that actually convincingly showed this? Both pollution and infectious disease spread are clearly correlated with population density, so the fact that you see more covid deaths in places with a lot of pollution doesn't mean much unless you statistically control for other effects.
Yes: "an increase of 1 μg/m3 in PM2.5 is associated with an 8% increase in the COVID-19 death rate (95% confidence interval [CI]: 2%, 15%)."
https://projects.iq.harvard.edu/covid-pm