Yes and no...coughing is the body's natural defense to foreign matter in the lungs, that is, anything but natural, breathable air. If enough not-air gets in, your body will try to get it out by coughing.
It might not however for various reasons, such as not being enough of the substance for the body to detect or not enough to be realized as a threat. Your body should try to remove everything though, that's just normal
