Joe,
No fuse. As Bruce noted they employ a relay.
In the electrical bay (front left bay under the driver's area, there are 2 copper buss bars. One is labeled BATT (left one as you are looking at them), The other is labeled IGNITION. There are relays mounted to the buss bars. Locate the Headlight relay. On some coaches it is CB6, the 6th one from the top on the BAT buss. On most coaches it is CB25 on the IGNITION buss bar.
First make sure the 2 nuts are tight on the relay. Be careful as there is 12v on the BATT buss bar at all times. Then use a meter and with the headlight switch and ignition on, verify you have 12v on both nuts. If you don't have it on the non-buss bar nut, the relay is bad. CB10 on the same bus bar should be a spare. If there are no wires on it, you can use it to replace CB6 or CB 25. (You can use any 20 amp relay that doesn't have wires on it.)
If there is 12V on both terminals of CB6 or CB25 and you don't have headlights, next check terminals 4 and 5 (Lo and Hi beam respectively) on TB1, which is to the right of the BATT and IGNITION buss bars. First verify the nuts are tight. Then check for 12V at each terminal when the appropriate beam is selected (with ignition on).
If you have 12v on them and no headlights there is probably a faulty connection in a connector under the front cap feeding the headlights. If you don't have 12v on the terminal, the high/low beam switch is probably faulty.
If your coach has the headlight mod installed, there will be 2 additional relays mounted somewhere in the electrical bay, usually on the lower right side. They control high and low beams and are electrically between the headlight relay ant the high and low beam terminals on TB1. If your coach has the mod, and there is 12v on the output of CB6/CB25, it powers the 2 added relays. Be sure that the connections are good and you have 12V on terminal 30 of each of those relays.
Steve