Your nose airways have special structures that heat up and moisturize the incoming air before it hits the lungs. The walls of the airways are also covered in mucus to which bacteria, dust etc. tend to stick, and they also have specialized cells with structures that make kinda sweeping motions to get those stuck bacteria and dust particles back out the way they came. So when breathing through your nose your lungs are overall better protected from the dangers of the outside air.
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