Ha, ha... I suppose it is possible! And I am thinking of doing it!
How? Simply as others have done, send the dust collector air volume outside, and let fresh air come in from the other side of the house.
I may make a small shed roof "room" to hold the dust collector I have, outside the shop. And I will keep the home made chip collector that has proven to be so effective, inside the shop.
Six months out of the year I will lose no thermal efficiency. The other six months I do not spend that much time in the shop doing things that require lots of dust collector time. And on those times I do, well, I will just eat the cost...
Seems like a perfect filter...no need for anything more exotic (and less efficient) than an air mover capable of moving chips and dust from the machines to the outside vent.
A zero micron filter really...unless standing outside by the exhaust vent...which is unlikely here...
Am I mis-guided?
Bill