Unless Dun is a recessive trait, then a horse can have the Dun gene but not show it. If it is recessive, the mare (and stallion) have to be Dun to contribute the trait.
If we're talking about a heterozygous female, than the male would also HAVE to be heterozygous for the trait to show. (Unless he has a trait that would be codominant or incompletely dominant). If she's homozygous than it doesn't matter if the male is hetero or homozygous. And that's only if Dun is a dominant trait.
If it's recessive, then one of them would also have to be heterozygous for the trait to show up in his foals.
So I guess it all comes down to whether Dun is recessive or dominant (I don't know much about horse genetics in particular) and if the male and female are heterozygous or homozygous. (I have recently learned that I fail at telling color, so I won't even try an educated guess
Again, I fail at color but I've looked at some pictures and that filly looks smoky black to me.