NOx is not peculiar to diesel engines. Gasoline engines also generate NOx. All internal engines make NOx. As long as you burn fuel + atmospheric air you get NOx. The atmosphere is 78% nitrogen. Some of it gets oxidized.
My back-of-the-envelope calculations suggest that off-the-shelf oxygen concentrators aren't efficient enough to make this practical, but I don't know whether there are fundamental thermodynamic limits that would prevent the efficiency from being improved.
The same condensation process would also trap all the carbon particulates.