It probably depends on a combination of the thermostat model required and possibly the installation. If it's a digital thermostat with a proprietary communications/control interface back to the air conditioner, then I would guess that heat is automatically included without needing additional wires. If it's a generic thermostat interface, such that you could install most any old generic thermostat (or at least those that don't require 24VAC for the thermostat operation), then it's anybody's guess as to what wires are run. You may be able to tell by opening the thermostat and seeing what all is connected.
Sometimes the wall thermostat controls the RV furnace via the air conditioner, with the air conditioner control module acting to pass the control signal along from the thermostat to the furnace. Mine works this way; when the thermostat turns on for heat, there's clearly a relay clacking on in the air conditioner unit.