Please....be careful and be sure that your gas lines are not leaking etc.... Do you know how old the furnace is? I agree that it could just be burning off dust but please check everything out carefully.
I have also read that you need to be careful regarding condensation inside the trailer during cold weather. You will want to be sure to ventilate enough to avoid that.
You should consider joining the WBCCI and Vintage clubs here in Colorado....great group of people and eager to share knowledge and ideas.
Post pictures when you can....