Air pollution may contribute to development of lung cancer in never-smokers

If I live in a polluted city, is there any facial mask that is proven to filter some—most?—of the pollution?

Let's say that moving out is not an option :)

You need FFP3/N99 respirators for best protection (unless you're willing to don on a full gas mask, which is doubtful). I've been using 3M respirators for years, and although they're sold as disposable, they usually last for at least a week.

E.g. https://www.3m.co.uk/3M/en_GB/p/dc/v000265948

It's snow white out of the box, and after using it for a few hours outside even in relatively clean air, it turns gray (and then dark gray if rubber straps hold for long enough).

The thing with these respirators (and also HEPA filters) is that they become better at filtering out particulates as they get dirtier, not worse; but their resistance to air also grows, so it gets more difficult to breathe over time. The rubber straps usually break before the respirator is very dirty anyway.

Note that these won't do anything against other pollutants (like nitrogen oxides), you need proper gas masks with special filters against those, they cost a lot and only last for a few hours.