I recently found the attached paper in which it seems that mice cough response could be measured although I have been always told that it is not possible.
Mark would know more about this than me but I think this boils down to how people define how a mouse/rat reacts to capsaicin inhalation. It isn't to say that they don't respond to capsaicin as Mark said but some would say that physiologically the response is not a cough just an expiration.