Mechanical thermostats have no fuse to check. Electronic thermostat have fuse and some have batteries.
If it is a small mechanical thermostat, remove cover, locate the two wires going to furnace. Connect them together. Fan should start, then in about 15-20 seconds the burner should start. Separate the two wires and the furnace should go into shut down mode and then shut completely off.
Make sure you have 12 volt DC turned on and batteries are up or main engine is running providing power to the coach system.
Make and model of rig would help.
Make and model of thermostat and furnace.