Is it possible to put in a pollen filter when the car doesn't have AC?
I looked where the filter should be, and there was no screws at the filter cover, and I could't take off the cover. Is the cover just glued on when the car doesn't have AC?

Yes. Glued on. Nothing there. A few have made the mistake of trying to change what wasn't there. No point in trying IMO.

I'd guess a pollen filter will fit in there, but getting the cover off without breaking it might be a challenge.
To put a filter in you will need to detach the bottom steering column joint to move the column out of the way, should use a new bolt. The whole job is a real pain. There must be something more important you need to do with your time.