What are effective ways to frame a return air duct?
Non PT wood will be fine.

I would build a 32x22" frame out of 2x4's but I would put a 3/4" square notch around the inside diameter of the frame and set the filter into that notch.  That will give you a nice seal for the filter but prevent it from falling through.  If necessary, add one or two cross braces across the inside of the frame cut to the depth of the notch so the filter has extra support.