Normally the return air vent is right in front of the furnace. You can unscrew the cover, then unscrew the furnace access panel, and look into the furnace to see if there is anything in there.
As others have stated if it's new it will smell a burning smell for a while. A mouse could have made a nest inside and the paper or nesting material could be the burning smell. You can even disconnect one of the ducts where it connects to the furnace and just shine a flashlight in for a quick view.
Also, I had a friend that had a wasp nest in the exhaust pipe that somehow backed a smell into the trailer. Might be worth checking if all else looks ok.
