Like stated earlier MJ will open your airways, and MJ smokers have higher lung capacity than cig smokers and even non-smokers.
Now one of the only down sides with MJ is that you have less oxygen in your blood therefore aerobic respiration is much harder.
Unless your special and can effectively respire anaerobically, then it is more 'tiring' to exercise high.
I already have shit stamina as it is, so exercising high is hard, but I just won't do much sober, I'm one of those people that gets high before everything they do, i wish i could do some activities sober but I simply get too bored/don't have the motivation when sober.
Smoking anything isn't the best for you, especially when you have a cough, but vaping would be much better and might even help with a cough.