Yes, there are three mini bulbs inside the heater control module.
Unfortunately, it doesn't look like they're servicable.  But, to check it,
remove the center bezel by removing the one screw above the trach bag hook
(just to the left of the glove compartment).  The bezel is then held in
place by spring clips.  Grasp the bag hook, and pull straight out.  Work
your way around the perimeter of the panel, popping it loose.  But, before
doing this, lower the ash tray and drink holder - otherwise, the spring
clips on the center bezel will gouge the face of them while you're
disconnecting the electrical connectors.

Once the panel is off, rest it on the cupholders, and disconnect the various
electrical connectors.  They're all different, so there's no chance of
mixing them up later.

The power to the heater control lamps is on pin 8 of the large connector
going into the heater controls.  It's an orange wire with a gray stripe.
Check for voltage on this pin with the interior lights turned on.  If that's
good, you might have a ground.  Pin 5 on the same connector, a black wire
with a light green stripe, is the ground.  Check for continuity between this
pin and a known good ground (the dash frame will do fine).  You can then try
supplying voltage directly to the pins on the heater control that correspond
with those on the connector.  A 9V battery will do.  If you can't get them
to light that way, it's pretty sure you've got a burned-out panel.

As I said, I've never tried taking one apart before - it might not even be
possible.  You could chance it and try and see if you can replace the bulbs,
you can live with it, or you can buy a replacement control from either the
dealership or possibly a junk yard.