They make screens to fit most of furnaces and water heaters. Here is a link to Camping World's offering, but I'm sure you can find them elsewhere on the web:
Search - furnace screen - Camping World
Plus, they are usually sold in any RV Parts place.
Spiders can fit easily through any screen and usually not a worry. Wasps, especially mud daubers, love the smell of propane. They like to fly through the open holes and build their nests in your furnace or water heater.
I have never seen a pre-made screen for refrigerators, but you may be able to fashion one from one of the other screens.