It's a grille or a grate if it returns air (return chamber), and a register or diffuser if it supplies air (plenum chamber). Failing that, grilles and grates typically do not have moving parts, whereas registers and diffusers usually do.
Avoid using air shaft, as those are typically vertical and run the entire height of a building.
The kids might have to turn back once they reach the main air shaft, having traveled through the ductwork (aka, ducts) all the way to it, after having removed the [grate/grille/register/diffuser] to gain access (or they'll likely risk certain death by falling several stories).
If this is a simple passive fresh-air intake from an air shaft, they'd have had to remove a register/diffuser (assuming it articulates) to get inside, only to be blocked (hopefully) by a grille/grate at the inlet, where the duct meets the shaft.
They may or may not encounter a damper somewhere inside the ductwork, which they'd have to squeeze by. Dampers are usually just a flat piece of sheet metal, hinged at the middle so that they can control the flow of air by restricting it.
Technically speaking, the piece of duct that you attach these covers to is known as a boot. Boots connect to branches, and branches connect to trunks. Trunks connect to chambers, and chambers connect to the air handler. Air handlers are integral to every forced air furnace.