Hello Clair & Rob,
Firstly as both Graham and Damian have pointed out modern (post 1985) can only be fitted with a 'room sealed' heater. Provided they are properly installed and maintained then the risk of Carbon Monoxide gas entering the living space from the heater is absolutely minimal. Whilst a CO detector will give you some peace of mind it is not strictly necessary.
Graham's description of an 'external' heat exchanger is perhaps a little misleading: Its not out side, but inside,
All Attwood, Carver, Electrolux, and Electrolux heaters are room sealed. This means that actual flame is contained in a tube which is only open underneath the caravan to draw in air for combustion and through the roof for the chimney. A heat exchanger is usually sited on the floor of the caravan, and this forms part of the tube. - so no products of combustion are allowed to escape the tube into the caravan.
As a result you only get the air inside the caravan being heated from the exchanger, and all products of combustion are exited up the tube and through the roof.
There is an exception to this. The Carver & Truma SB1800 models still have room sealed operation, but due to the very high efficiency of the heat exchanger the exhaust gasses are so cool they are driven back down through the floor and dissipate underneath the caravan.
Proper regular servicing of all gas appliances is important. In a caravan where for much of the time the caravan is not used, it is not uncommon for insects to get inside the burner assemblies. When they do, they often disturb the system that mixes the gas air before burning (Venturi Tube) When this happens, the actual flames will often appear languid and have the appearance of a candle flame. This is a sure signal to have the appliance serviced.
I must point out that to undertake to install, service, repair or remove any gas appliance you must be competent to do so. So unless you are trained and are fully conversant with the gas regulations, you must find a competent person to do it.