Although he calls the filter a hepa filter, it’s not. It’s a MERV 13 filter which is still very efficient and it should work good enough.
I would put the filter on the inlet of the fan instead of the outlet as the video shows.
If allergies are keeping you up at night this may provide some relief. Turn the fan on a couple hours before bed to allow time for it to clean the air and keep your door closed to prevent more dust from entering the room.