I've been reading "The Third Reich at War" (great book, btw, highly recommend), and he hasn't mentioned whether this was considered by the Nazis, and, if it was, why it was rejected. It seems to me that, if you want to kill humans, using gas that was specifically designed to kill humans is pretty logical, if also terrible. So why didn't it happen at Auschwitz and Treblinka?
Even chemical warfare agents that are not 'persistent' (I think nerve agents fall into this category, as opposed to the less efficient mustard gas) isn't particularly safe to be around without protective gear once used. Since the gas chambers needed to be cleared out and re-used after each action, using a toxic agent that could build up on the walls, bodies etc. wouldn't be practical/safe for the handlers.
Zyklon-B on the other hand was a product originally intended for use in work spaces IIRC, and once the chamber was ventillated was (relatively) safe to enter. Engine exhaust once dispersed isn't going to make you very sick with incidental exposure, unless I supposed you have an allergy or asthma.
http://www.drugs.com/cg/nerve-gas-poisoning.html This link notes that decontamination, including washing the body, is part of treating someone exposed to nerve gas.
Bit of a random reference but Martin Middlebrook's "The Kaiser's Battle" gives an example of how a persistent chemical agent was used in a fairly sophistocated attack plan in 1918 - fired at enemy positions where were then bypassed to avoid any delay in the advance.
In fact, cyanide gas was tested and used as a chemical weapon in WWI. However, it didn't have the qualities of a good chemical weapon. It left no residue, dissipated quickly, and took minutes of exposure to kill. It was mostly consigned to defensive roles like booby-trapping important facilities.
Here are the major chemical agents used during WWI or developed during WWII and why they weren't suitable for this horrible application:
Chlorine: Highly corrosive. The residual chlorine gas would be constantly attacking the rooms and the protective clothing of workers, eventually leading to leaks.
Phosgene: Doesn't kill immediately. Victims feel normal, even euphoric for several days while the gas silently destroys their lungs and they drown in their own fluid. Too much potential for the Germans to kill their own workers.
Mustards: /u/Smilin_Dave has already outlined why the mustards aren't suitable, they persist too long.
Nerve agents: They simply work too quickly in tiny amounts, and they are absorbed through skin. Microscopic amounts of nerve gas residue can kill a worker both at the chemical plant or when they are used, and there often isn't time to inject them with an antidote.
And finally... Cyanide: Kills in minutes. Doesn't chemically attack a lot of stuff around it. Has a distinctive smell (bitter almonds). Dissipates quickly.
All information taken from A Higher Form of Killing: The Secret History of Chemical Weapons by Robert Harris (an excellent, if grim book on the subject)