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Can't say exactly what your problem is, but I want to be sure you understand how severe a problem getting exhaust into the cab of your vehicle can be. If the concentration of exhaust in the cabin is sufficient, you could be subject to carbon monoxide poisoning. Even if the concentration is not high enough to be immediately lethal (called acute poisoning), breathing lower concentrations for an extended period of time (called chronic poisoning) can cause fatigue, nausea, respiratory problems, and memory loss (among other things).
There were documented cases of people driving long distances in station wagons in the 1970's with the rear lift glass open, and the exhaust would get sucked back into the vehicle and kill people in the rear of the wagon. So, it can be a major problem.
I don't know much about the previous generation of Frontiers (I have an '05), but I'm assuming that Nissan's smart enough to have the HVAC system use the coolant to heat the air, and not the exhaust gases (like some Volkswagens and a few other vehicles).
The best guess I have is maybe there's a leak around the exhaust header that's making it through the firewall and into the vehicle.
You can buy or rent (or possibly borrow from the fire department) a carbon monoxide detector that might help you locate the source of the gases. The typical home monitors probably wouldn't work well, because you really need one with a hose that you can sniff small areas with to locate the leak more precisely.
That would be by best guess.
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