I know there is secunia and cve.mitre and ms kb database but I could not find a way to filter results only for operating system "windows xp" (or 2003 server, they share about the same code) with impact "arbitrary code execution" for which there is no workaround and no patch.
You will not find this elaborate data no matter where you search simply because there are a lot of unreported attacks against many operating systems. When dealing with XP, you are likely also dealing with the security issues with newer operating systems (Windows 7, Windows 8) not to mention software such as Adobe, Firefox, etc., that are no longer supporting Windows XP either.
By stating you are looking for "code execution" in Windows XP, you're forgetting about the amount of software that will never be updated for XP. Flash, Firefox, IE, Office, and this list goes on and on. It's akin to playing Russian Roulette with 3 or more bullets in the chamber.
Because you're still going to do whatever you choose to do, I suggest you focus on something like Tripwire, OSSEC or some other HIPS checksum mechanism to make sure nothing new is introduced on the system. You might be able to find (archive.org or something) a legacy copy of Black Ice Defender which can be configured to alert on the fly at in and outbound connection attempts versus relying on the standard Windows firewall.
As for your initial question, you won't find a source that will tell you ALL code execution exploits because you need to worry not only about Windows, but about the software it is running.