A HEPA filter won't do jack against chemical weapons. In fact, a setup like you describe will bring airborne chemical weapons into the house faster than a totally unsealed house with the doors and windows closed and the the A/C off.
Against certain chemicals, no it won't, but then activated charcoal prefilters will get that. Against biologicals (more likely) it most certainly will. Also it will allow you to get fresh oxygen with reduced risk.