Can I attach a HEPA filter to the HVAC outlet?
Adding a filter onto an HVAC unit that's not designed for one will almost certainly cause problems... definitely with efficiency, possibly mechanical problems as well. If your model does not have a built-in filter you would probably be better served by getting a standalone air filter.

However, many units do have at least a basic filter built-in, and you may be able to clean it or replace it. Typically they are on the input side of the unit, to remove any particles or debris before the air passes through the unit. If you have or can find a user's manual, check there for instructions. Or it may be obvious once you start looking. In the USA they are often large square filters that come in standard sizes and slide into the unit, but on a smaller model like a window unit it may be a non-standard size. I do not know anything about HVAC equipment in China.