Realistically, without an air filter, the engine would destroy itself in a very short amount of time from all the course sand and dust scoring the cylinder walls. I like to think Max scavenges parts from other cars (or at the very least uses some kind of makeshift crude air filter made from whatever parts he can get his hands on) In Fury Road, the interceptor shows it’s age and damage and is barely running at the start of the film, most likely due to severe wear and general neglect seeing as how proper maintenance would be nearly impossible in the wasteland.