Still an active field of study but your intuition seems to be right. One study is here [1]. Combustible “types” of PM are usually worse (think smoke / carbon) vs. vaporous types of PM. The method of action is hypothesized to be the carbon particulate getting lodged in your lungs (similar problems from smoking, carbon nanotube inhalation, or charred foods).
[1] https://ehp.niehs.nih.gov/doi/full/10.1289/ehp.0800185?url_v...