Most all RV furnaces don't have a filter because it might restrict air flow. You could check at the return grill in your RV, but I don't think you'll find anything. If you try to install a filter, the reduced air flow might cause the furnace to fail to work because there's a 'sail switch' in the furnace that won't trigger the furnace if air flow isn't strong enough to push it closed.
Bob & Donna
'98 Gulf Stream Sun Voyager DP being pushed by a '00 Beetle TDI