According to volts500 :
While the NEC does allow one to pass a Romex type cable straight through a
cold air return as described, a safer method, and also permited by code,
would be to install a 1/2" EMT with a connector attached at each end (to
serve as bushings) and pass the Romex through the conduit.

In Canada, the CEC does not permit you to do that. Hint: if the wire
ever overheats, it's injecting noxious fumes _directly_ into your air
handling. I'm surprised the NEC permits it.

[That said, I _have_ seen it in older homes at least.]

There's an exception for teflon coated wire (certain types of CAT-5 for
example). And conduit of course. If you use EMT, you could probably
get away with strapping it to the ducting for ground.
--
Chris Lewis, Una confibula non set est
It's not just anyone who gets a Starship Cruiser class named after them.