Exhaust smell when heater used.

Sometimes mold grows inside the HVAC unit and you'll get strange odors. However, if this was your case, you should smell it with a/c on as well.

Sometimes what smells like one kind of odor to you will smell different to someone else.

You may have a slight leak in the heater core or hose that's causing this smell.

Also, I've seen many strange things show up inside of cars. You could try removing the HVAC unit and looking around inside for the source of the smell.