Exhaust Leak VW Jetta 03

2003 Jetta 1.8L: Fumes in my air vents

Help, I can smell fumes in my car when the air circulation is on. Looks like an exhaust leak but not sure which part exactly. Flex pipe? Valve/Gasket?

Engine light has always been on and code is for O2 sensor because the car does not have a catalytic converter but that hasn’t caused fumes in the past.

If anyone knows please share your advice.

Thank you!