There are "on the wall" heaters that do not require an open window, . . . they are propane.
If this is the one you're looking at, . . . I'd say it is OK: http://www.mrheater.com/30-000-btu-v...ater-1707.html
I have one similar to it that heats my leather shop, . . . look for that kind of heater.
Be especially careful of it if the instructions say "Use only in a well ventilated area". That one will get them killed or extremely sick.
May God bless,