I have an added on room to my house that is accessed by going out side, my "man cave." It has air vents from the hvac system, but it doesn't seem to work. There is no return in the room and that to me may be the problem. Any opinions?

From the sounds of it your creating positive pressure in the room and that is reducing the flow of air back into the system. If it is a room of its own you might consider a separate unit just for that room. There are many dual purpose machines out there as well as separate ones for heat (looks like a fireplace) and air units.

Without a return, you have a closed end and a HVAC system operates on a closed loop. You build up pressure that back pressures the duct and no air flow occurs. Your best bet would be to install a through wall heat pump like the systems they use in motels or figure a way to vent the system.