My lennox furnace has no filter
I have a Lennox too and I hate the filter situation with a fury of 1000 suns:




It's just sitting in the furnace against the return duct - previous owner left a VERY dirty one taped with aluminum tape that took me a long time to peel. I've been using masking tape. One of these days I'll find time to fabricate a filter box to sit between the return duct and the furnace.

So, I'm guessing from your pictures that you'd be in the same situation - inside the furnace, against the mastic'ed duct.