You might try traditional moss, of which have been characterized as 'grows by gathering nutrients primarily from the air'. They generally are good 'dust collectors' because similar to a sponge, the particulates in the air circulation gather upon damp moss easily. I doubt moss actively seek out formaldehyde or any other specific pollution, rather more like a collector of whatever drifts by. Different mosses collect differently than each other, so a variety of mosses might be in order.
There is a funny little moss that primarily grows in the tallest tree top limbs but also grows on the ground, it is light green patch which looks like a tangled mass of hair, it looks similar to the 'reindeer moss' that can be found growing on the ground. Both of these are probably lichen, maybe you have a local source of special air filter plants in your area, if you lived in LA, MS, AL, FL, GA... for example,...you might try 'spanish moss'.
There is another substance that grows on the tall tree limbs, usually dying limbs, I call it 'squirrel jelly' it ranges in colors from crystal clear, to rusty red, and carbon black, it is somewhat sticky almost like dried tree sap, I think 'it's job' is to collect various spores or whatever is drifting by, then drop it to the ground when the limb falls off.
I like the 'spider wort' which grows outside, but...'they' say the blue flowers will turn pink as a warning that radioactive is present, but then wouldn't all blue flowers turn pink if radioactive was present? hahaahha
Subject: List of air-filtering plants
This blog post talks about the best plants for removing some airborne toxins based off of research done by NASA which researched ways to clean air in space stations.
The best plants most effective in removing: Formaldehyde, Benzene, and Carbon Monoxide from the air were as follows:
Bamboo Palm – Chamaedorea Seifritzii
Chinese Evergreen - Aglaonema Modestum
English Ivy Hedera Helix
Gerbera Daisy Gerbera Jamesonii
Janet Craig - Dracaena “Janet Craig”
Marginata - Dracaena Marginata
Mass cane/Corn Plant - Dracaena Massangeana
Mother-in-Law’s Tongue Sansevieria Laurentii
Pot Mum – Chrysantheium morifolium
Peace Lily - Spathiphyllum
Warneckii - Dracaena