What is the effect of Helium-based surroundings (99% Helium) on electrochemical gas sensors?
Aiming for dilution of the exhaust gases, you need a gas that is inert, i.e. does not react at these conditions with neither the gases present, nor with the metals present in in the catalytic converter (if there is such device installed) and electrodes of the sensors.

Under this restraint, using a nobel gas was a good idea.  Yet instead of helium, that you still may use to spot leaks in the tubings, I would opt for argon, which is much cheaper per litre.  Note that at ambient conditions, its density as gas is higher than the one of helium and of air and has a slightly lesser thermic conductance.