If that's a direct vent or through the wall vent heater that's very common there's nothing wrong with it because it takes it combustion air from the outside you're going to get air from that hole when it is open when it's running the hole is closed. Checking the firebox is a good idea. I also recommend checking to make sure the vent outside doesn't have a bird's nest in it that'll cause the burner to smother and go out when the hole is closed. Put the control on pilot push the button down use a wood match with a holder of some sort strike and as it's flaring put it in the opening if the pilot doesn't lite then you either have to clear the pilot out if there's no or a small flame. If you have a nice strong pilot impinging on the thermocouple and it doesn't hold you have a weak millivolt system which is either the thermocouple or the mag head in the control. If you get it lit you have to close that little metal door to use the heater.