A "large puff" when igniting the pilot of a propane heater can be caused by a dirty or clogged pilot assembly. Clean or replace the pilot assembly to address the issue.
The first thing I would do is remove the batteries, wait 15 minutes and install 2 new Duracell AA batteries as replacements. Also make sure the 'Electric / Gas' is set correctly to the correct form of heating.
If that doesn't work, contact their Support with a view to a Warranty claim.
https://www.copeland.com/documents/1f80-361--instructions-en-4209048.pdf
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If it the type with an impeller that spins and draws up the kerosene to be spun into the combustion chamber to be burned, it usually means that the impeller unit is worn and needs replacing.
Question edited for clarity and full model details.
This is the manual and says the furnace instructions come depending on the maker, of the particular furnace.
https://keystone-rv-dealer-app.cdn.prismic.io/keystone-rv-dealer-app/5626704e-b671-464f-bd2f-9fb9ac611a73_2012+Keystone_owners_manual.pdf
The page is numbered 36 on the bottom left of the page, or 42 on the bar at the top.
Furnace The furnace is a propane gas appliance that requires 12 volt power to electronically light. New furnaces sometimes emit smoke and an odor during the first 5 - 10 minutes of initial use due to paint burning off the heating chamber. Do not mistake this for a malfunctioning furnace. Follow the suggestions in Chapter 2 regarding maintaining Indoor Air Quality if this occurs. Please refer to the manufacturer instructions supplied with the unit for care and operation. Please refer to the manufacturer instructions supplied with the unit for care and operation and/or
www.atwoodmobile.com or www.rvcomfort.com.
More here on the RV model
https://www.google.com/search?q=2012+keystone+rv+cougar+x-lite+series+m-29+rbk+furnace+instructions
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Sounds like its the thermocouple not working check the conection to the gas valve from the thermocouple .Also check that pilot flame is strong and blue and playing on the thermocouple