Designing a cold gas propulsion system is much more complex than just selecting the "right" gas. Nitrogen is popular for many reasons but my guess is that one of the reasons is its high availability and low cost.
The design criteria for such a system are varied, for example, let's assume that allowed mass of the propulsion system is limited, this mass is highly affected by the thickness of the tank, the thickness of the tank is affected by the gas pressure that related to the selected gas.
Another issue is that fact some gas might turn into a liquid while being under pressure. This might create some undesired sloshing phenomena that have an effect on the satellite attitude control system.
I recommend you read the following article: "Cold Gas Propulsion System Conceptual Design for the SAMSON NanoSatellite" where the authors describe the entire design process of a cold gas propulsion system.