Rarely do RVs come with furnace intake filters. The only ones I've seen is for units that have the furnace in the basement and an air return duct in the floor above, which is vulnerable to things falling in. Most RV furnaces take the air directly into the side of the furnace, so it's a raised (vertical) inlet and a filter is largely unnecessary. If it has an inlet duct, it may be practical to add a filter at the open end.
If you do choose to add one, make sure it is a very open mesh, so as not to restrict air flow. The furnace will shut down due to internal overheating if there is not a lot of air passing through the intake and out the ducts. There is a high temperature emergency cut-off designed in to handle this problem safely.
2004 American Tradition; 2013 Buick Verano
Homebase in the Ocala Nat'l Forest near Ocala, FL