I think its effective because its a combination of most of what you have said already...

Oxygen Deprivation (Which is what causes a natural cough) which will probably cause a change of air pressure in your head, making it seem you are higher...think about when you stop breathing and you start to get dizzy...if any of you have played the choking game you know this...

and also

the fact that it opens your capillaries in your lungs to allow more THC into your bloodstream...like typo said

Either way I believe the cough must be natural....