An air lock is possible but unlikely, firstly check that the pipes to the heater matrix get hot where they pass through the bulkhead.
If they are not getting hot, check whether your car has the VW 'recall' heater bypass unit fitted?
If you have this unit fitted it has probably failed which means you get no heat into the car, there are a few solutions to this problem,
I just sorted mine on Sunday. Let us know what you find.