If the furnace is mounted in the basement and draws its return air through a hole in the floor, there is typically a filter there. I've seen them on American Coaches and some Winnebago diesels. But most RV furnaces do not have a air return filter, or the "filter" is a screen in the cabinet where the furnace is mounted. For example, if the furnace is under the fridge, there is usually a decorative fabric cover over the intake hole that suffices to keep dust out.
2004 American Tradition; 2014 Buick LaCRosse
Homebase in the Ocala Nat'l Forest near Ocala, FL