The thermostat operates on 12 VDC, so you either need a charged battery or shore power and the converter to supply the power to operate the thermostat.
That said, which thermostat do you have? If it's the Dometic digital, you must power it on with the bottom center button. The LED for HEAT should light and you should see a temperature LCD in the center LCD screen. Of not, there's no power to the thermostat, if you do have than and the temperature is increased above the room temperature, the furnace "should" turn on. If it doesn't, then check the 12 volt fuse panel in your power center, you might have a blown fuse for the furnace circuit.
2015 F250 6.7l 4x4
2014 Cougar X Lite 27RKS