It always helps to add the model number of the item you want help on. However if it's like the newer units, the fan operates whenever the heater wall has reached a high enough temperature and shuts off when the heater cools off. It is not wired into your thermostat or electrically wired to the heater. It does that with a temperature driven fan switch in a little junction box mounted to the heater. Normally when that box gets hot because the heater is on the fan comes on, when it cools off the fan goes off. The junction box will have an ac cord coming out of it. If this fan switch junction box is not properly mounted it could be getting cooled off when the fan starts and then shuts itself off. After it heats up again it starts the fan. The other possibility is the temperature based fan switch is failing and needs replacement. See link.

http://www.cozyheaters.com/graphics/products/manuals_installation/CDV.pdf