Is it wrong to call carbon dioxide "methanedial"?
The current version of Nomenclature of Organic Chemistry – IUPAC Recommendations and Preferred Names 2013 (Blue Book) reads as follows:

P-66.6.1.1.1 Mono- and dialdehydes derived from alkanes are named substitutively using the suffix ‘al’ added to the name of the parent hydride with elision of the final letter ‘e’ of the parent hydride before ‘a’.

Examples:
pentanal ($\ce{CH3-CH2-CH2-CH2-CHO}$)
pentanedial ($\ce{OHC-CH2-CH2-CH2-CHO}$)
In this context, the term ‘aldehyde’ is unambiguously defined:

P-66.6.0 Introduction.
The class name ‘aldehyde’ traditionally refers to compounds containing the $\ce{-CH=O}$ group attached to a carbon atom. However, nomenclature for aldehydes has been extended to describe a $\ce{-CHO}$ group attached to a heteroatom.

Since carbon dioxide ($\ce{O=C=O}$) does not contain a $\ce{-CH=O}$ group, it is not considered an aldehyde and thus Section P-66.6.1.1.1 does not apply to carbon dioxide.
Therefore, the shortest dialdehyde is ethanedial ($\ce{OHC-CHO}$). (Note that the preferred IUPAC name is ‘oxaldehyde’, which is derived from the retained name of the corresponding carboxylic acid.)