That's strange because the Mazda 6 (which are beloved Fusion basically is) comes with one:
http://www.mazda6tech.com/index.php?option=content&task=view&id=43&Itemid=57
And this pic (from another post on this forum) shows the area under the passanger airbag where the filter would be (is?) located and there is certainly something "fliterlike" looking in that dash:
http://www.mazda6tech.com/index.php?option=content&task=view&id=43&Itemid=57
And this pic (from another post on this forum) shows the area under the passanger airbag where the filter would be (is?) located and there is certainly something "fliterlike" looking in that dash: