Most direct vent fireplaces are connected to the house power using a socket or in another way. They use this power for ignition and to regulate the flame. This implies that most of them cannot work when the power is out.
However, some manufacturers think ahead of the curve and have included backup batteries in their products. These will serve to power the fireplace during a power outage. If you purchase one of these, you should have no problem using it when there is no power. An example of such a fireplace is the Majestic JADE32IN Jade 32" Gas Fireplace.